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On RegARIMA Model, RegSSARMA Model and Seasonality

Author

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo)

  • Makoto Takaoka

    (Graduate School 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.

Suggested Citation

  • Naoto Kunitomo & Makoto Takaoka, 2002. "On RegARIMA Model, RegSSARMA Model and Seasonality," CIRJE F-Series CIRJE-F-146, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2002cf146
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    References listed on IDEAS

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    1. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
    2. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
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    2. Maroje Lang & Davor Kunovac & Silvio Basač & Željka Štaudinger, 2008. "Modelling of Currency outside Banks in Croatia," Working Papers 17, The Croatian National Bank, Croatia.

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