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Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series

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Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series

Written by:
RRS2009-06

Abstract

Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series
Download Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series [PDF - <1.0 MB]

U.S. Census Bureau retail, wholesale, and manufacturing inventory series are evaluated for the presence of stock trading day and stock Easter effects. We are especially interested in the detection of the one-coefficient stock trading day effect described in Findley and Monsell (2009) and a stock Easter effect described in Findley (2009). Using the diagnostic capabilities of X-13A-S, we utilize likelihood statistics, spectral analysis, and forecasting diagnostics to decide whether stock regressors should be included in the models of inventory series, as well as what type of stock regressor (full implementation or one-coefficient trading day, end-of-month stock versus choosing a sample day, etc.) Results of this study are presented and discussed.

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