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X-13ARIMA-SEATS Seasonal Adjustment Program

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Modeling Stock Trading Day Effects Under Flow Day-of-Week Constraints

David F. Findley(1)

ABSTRACT:

From an invertible linear relation between stock and flow trading day regression coefficients that is derived, it is shown how flow day-of-week effect constraints can be imposed upon the day-of-week effect component of the stock trading day model of Bell (1984) used in X-12-ARIMA. We illustrate the use of the general formulas obtained by deriving the one-coefficient stock regression model determined by the constraints that give rise to the one-coefficient weekday-weekend-contrast flow trading day model of TRAMO and X-12-ARIMA.

KEYWORDS:

Time series; Trading day adjustment; One-coefficient stock trading day model





(1) David F. Findley was the Senior Mathematical Statistican for Time Series and is now a consultant, U. S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : david.f.findley@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: September 27, 2013