Skip Main Navigation Skip To Navigation Content

X-13ARIMA-SEATS Seasonal Adjustment Program

You are here: Census.govSubjects A to ZX-13ARIMA-SEATSSeasonal Adjustment PapersPapers by Year › Abstract of Findley (2006)
Skip top of page navigation

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

David F. Findley(1)


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.


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 :

[PDF] or PDF denotes a file in Adobe’s Portable Document Format. To view the file, you will need the Adobe® Reader® Off Site available free from Adobe.

This symbol Off Site indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.

Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or |  Last Revised: April 02, 2015