X-12-ARIMA季节调整程序的新功能与方法

New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program

Journal of Business & Economic Statistics · 1998
被引 581 · 同刊同年前 3%
人大 AABS 4

中文导读

介绍美国人口普查局新开发的X-12-ARIMA季节调整程序,该程序在X-11-ARIMA基础上增加了多种调整能力、诊断工具、时间序列建模与模型选择功能,以及便于批量处理大量序列的用户界面。

Abstract

X-12-ARIMA is the Census Bureau's new seasonal-adjustment program. It provides four types of enhancements to X-ll-ARIMA—(1) alternative seasonal, trading-day, and holiday effect adjustment capabilities that include adjustments for effects estimated with user-defined regressors; additional seasonal and trend filter options; and an alternative seasonal-trend-irregular decomposition; (2) new diagnostics of the quality and stability of the adjustments achieved under the options selected; (3) extensive time series modeling and model-selection capabilities for linear regression models with ARIMA errors, with optional robust estimation of coefficients; (4) a new user interface with features to facilitate batch processing large numbers of series.

X-12-ARIMA季节调整诊断检验ARIMA模型