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 (2009)
Skip top of page navigation

Stock Series Holiday Regressors Generated By Flow Series Holiday Regressors

David F. Findley(1)

ABSTRACT

Stock economic time series such as end-of-month inventories arise from a succession of monthly inflows and outflows, i.e., from an accumulation of monthly net flows. We use the perspective of stocks as accumulations of monthly flows to derive holiday regressors for end-of-month stock series from cumulative sums of flow series holiday regressors. Our focus is on common flow holiday regressor properties that yield simple formulas for the stock regressors. The resulting regressors seem to be the first holiday regressors for stock series. Stock Easter holiday effect regressors obtained in this way have been implemented in X-13-ARIMA-SEATS. Empirical results are shown from their application to U.S. manufacturing inventory series from the M3 Survey.

KEY WORDS: Stock time series; Inventory series; Seasonal adjustment; Calendar effects; Moving holidays; Forecasting, X-13-ARIMA-SEATS.





(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



[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 x12@census.gov) |  Last Revised: November 19, 2012