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Issues in Estimating Easter Regressors Using RegARIMA Models with X-12-ARIMA

David F. Findley(1), Kellie Wills (2) and Brian C. Monsell(3).

ABSTRACT:

The most common moving holiday effect found in U. S. economic flow series is the Easter effect. For many retail sales series, levels of sales are elevated in the period just before the Easter holiday (which varies between March 22 and April 25). Because of this, X-12-ARIMA has long had a built-in regressor corresponding to the Easter holiday.

This study seeks to provide guidance for practical concerns analysts have when including Easter regression effects in regARIMA models for economic time series. We seek to answer the following questions regarding the use of Easter regressors in reg- ARIMA models of economic data as they are incorporated into X-12-ARIMA:

These questions were investigated using synthetic series with Easter effects constructed to conform to the models assumed by X-12-ARIMA.

KEYWORDS:

moving holiday effects, revisions, outliers, seasonal adjustment




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(1) David F. Findley is formerly the Senior Mathematical Statistican for Time Series and now a consultant, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : david.f.findley@census.gov

(2) Kellie C. Wills is currently working for the Insightful Corporation.

(3) Brian C. Monsell is Mathematical Statistican, Statistical Research Division, U.S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : brian.c.monsell@census.gov