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Issues in Modeling and Adjusting Calendar Effects in Economic Time Series

Brian C. Monsell(1)

ABSTRACT:

The effectiveness of alternate models for estimating trading day and moving holiday effects in economic time series are examined. Several alternative approaches to modeling Easter holiday effects will be examined, including a method suggested by the Australian Bureau of Statistics that includes a linear effect. In addition, a more parsimonious technique for modeling trading day variation will be examined by applying the day-of-week constraints from the weekday/weekend trading day contrast regressor found in TRAMO and X-12-ARIMA to stock trading day.

KEYWORDS:

moving holiday effects, forecast revisions, seasonal adjustment, likelihood statistics





(1) Brian C. Monsell is Mathematical Statistician, Center for Statistical Research and Methodology, U.S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : brian.c.monsell@census.gov



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Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) |  Last Revised: November 19, 2012