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Detecting Stock Trading Day Effects in U. S. Census Bureau Inventory Series

Natalya Titova(1) and Brian Monsell(2)

ABSTRACT:

U.S. Census Bureau retail, wholesale, and manufacturing inventory series are evaluated for the presence of stock trading day and stock Easter effects. We are especially interested in the detection of the one-coefficient stock trading day effect described in Findley and Monsell (2009) and a stock Easter effect described in Findley (2009). Using the diagnostic capabilities of X-13A-S, we utilize likelihood statistics, spectral analysis, and forecasting diagnostics to decide whether stock regressors should be included in the models of inventory series, as well as what type of stock regressor (full implementation or one-coefficient trading day, end-of-month stock versus choosing a sample day, etc.) Results of this study are presented and discussed.

KEYWORDS:

RegARIMA model, trading day adjustment, moving holiday, stock Easter effect, spectral diagnostics





(1) Natalya Titova is Mathematical Statistical, Statistical Research Division, U.S. Census Bureau, 4600 Silver Hill Road, Washington, DC 20233. email : natalya.titova@census.gov

(2) Brian C. Monsell is Mathematical Statistical, Statistical Research Division, 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