The effectiveness of alternate models for estimating trading day and moving holiday effects in economic time series are examined. Several alternative approaches to modeling Easter holiday effects will be examined, including a method suggested by the Australian Bureau of Statistics that includes a linear effect. In addition, a more parsimonious technique for modeling trading day variation will be examined by applying the day-of-week constraints from the weekday/weekend trading day contrast regressor found in TRAMO and X-12-ARIMA to stock trading day.

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Generalizations of the Box-Jenkins Airline Model

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Here, we generalize the seasonal factor further by associating a subset of the frequencies 1, 2, 3, 4, 5 and 6 cycles per year (in the case of monthly data).

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Issues in Identifying Easter Effects in Economic Time Series

2006

This paper shows that analysis of X-11 extreme values and regARIMA outliers can contribute to better Easter effect decisions.

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Spectral Approach for Assessing Time Series Model Misspecification

2008

We consider band-limited frequency domain goodness-of-fit testing for stationary time series, without smoothing or tapering the periodogram.

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Time Series and Seasonal Adjustment Working Papers

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