On RegARIMA Model, RegSSARMA Model and Seasonality

Naoto Kunitomo and Makoto Takaoka
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Naoto Kunitomo: Faculty of Economics, University of Tokyo
Makoto Takaoka: Graduate School of Economics, University of Tokyo

No CIRJE-F-146, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: In the recent X-12-ARIMA program developed by the United States Census Bureau for seasonal adjustments,the RegARIMA modeling has been extensively utilized.We shall discuss some problems in the RegARIMA modeling when the time series are realizations ofnon-stationary integrated stochastic processes.We propose to use the seasonal switching autoregressive moving average (SSARMA) model and the regression SSARMA (RegSSARMA)model to cope with seasonalities commonly observed in many economic time series.

Pages: 21 pages
Date: 2002-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-pke
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Citations: View citations in EconPapers (2)

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