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Examining Diagnostics for Trading-Day Effects from X-13ARIMA-SEATS
Examining Diagnostics for Trading-Day Effects from X-13ARIMA-SEATS
RRS2016-02
Abstract
This study examines some diagnostics available in X-13ARIMA-SEATS for detecting a trading-day effect. The diagnostics of interest are a χ2-test, an F-test, and the spectrum peaks at the two tested trading-day frequencies (under both the default last 8 years of data as used by the program and the full data). Sets of seasonal series without trading-day effects are simulated initially to measure the false detection rate and to estimate the appropriate α = 0 .05 critical value. Sets of seasonal series with trading-day effects are subsequently simulated to assess the power of those diagnostics.
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Statistical Research Reports and Studies
Page Last Revised - October 28, 2021
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