Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Empirical Comparisons of Seasonal ARIMA and ARIMA Component (Structural) Time Series Models
Empirical Comparisons of Seasonal ARIMA and ARIMA Component (Structural) Time Series Models
Working Paper Number RR93-10
Abstract
This paper compares seasonal ARIMA models as presented in Box and Jenkins I models with ARIMA component (structural) models as presented in Harvey (1989). Both are augmented as appropriate with the same regression variables to account for calendar effects, level shifts, and additive outliers. The models are compared on a set of 40 Census Bureau monthly time series in regard to fit using AIC and related statistics. Bell and Pugh (1990) made similar comparisons of ARIMA models with the basic structural model BSM). This paper extends their work by also considering ARIMA component k models with trigonometric seasonal components. For the 40 time series considered, AIC and the other model comparison statistics express a strong overall preference for the ARIMA models over the ARIMA component models.
Others in Series
Working Paper
Matching and Record Linkage
Matching and Record Linkage
Working Paper
Coverage Improvement from Experimental Residence Questions
This paper focuses on within-household undercoverage, which was the major topic of a study conducted on behalf of the Bureau of the Census by the NORC.
Working Paper
Using Quarterly Seasonal Adjustments to Improve Monthly Adjustments
Using Quarterly Seasonal Adjustments to Improve Monthly Adjustments
Related Information
Page Last Revised - October 28, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
