By deriving an invertible linear relation between stock and flow trading day regression coefficients, we show how flow day-of-week effect constraints can be imposed upon the day-of-week effect component of the stock trading day model of Bell used in X-12-ARIMA. As an application, a new one-coefficient stock trading day model is derived from the constraints that give rise to the one-coefficient weekday-weekend-contrast flow trading day model of TRAMO and X-12-ARIMA. We present summary results and some details of a quite successful application of the new model to the manufacturers' inventory series of the U.S. Census Bureau's M3 Survey.

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Issues in Modeling & Adjusting Effects in Economic Time Series

2007

The effectiveness of alternate models for estimating trading day and moving holiday effects in economic time series are examined.

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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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Seasonal Adjustment to Facilitate Forecasting: Empirical Results

2010

In this paper we consider how well seasonal adjustment methods, and certain of their variations, satisfy one objective of seasonal adjustment.

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Time Series and Seasonal Adjustment Working Papers

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