Catherine Hood Consulting

Advanced Seasonal Adjustment

with TRAMO/SEATS 

Purpose:
This course is a combination of the Seasonal Adjustment with TRAMO/SEATS for Windows® course and the ARIMA Modeling for Forecasting and Seasonal Adjustment course.

Duration: 5 days

Target audience:
Persons with a background in econometrics or statistics who are interested in learning more about the details of TRAMO/SEATS and ARIMA modeling. The course is limited to 10 persons.

Prerequisites:
None, only general prior knowledge of time series is assumed. Some topics require some knowledge of statistics, for example, the participants should understand terms like mean, covariance, and linear regression.

Topics Covered:
The course examines the topics covered in Seasonal Adjustment with TRAMO/SEATS for Windows® and ARIMA Modeling for Forecasting and Seasonal Adjustment.

  • Basic definitions, including time series, seasonal adjustment, trend-cycle, trading day, and moving holidays
  • The benefits of using an "off the shelf" program like TRAMO/SEATS for seasonal adjustment
  • All of the input parameters available in TRAMO/SEATS
  • Running TRAMO/SEATS in automatic mode and in batch mode
  • ARMA processes
  • Box-Jenkins method for ARIMA modeling
  • Models for time series
  • Model identification
  • Fitting ARIMA models
  • Estimation methods
  • Regression models with ARIMA errors (regARIMA models)
    • Detecting and removing outliers
    • Detecting trading day and moving holiday effects
  • Forecasting methods and evaluating forecasting performance
  • Spectral methods
  • Linear filters for seasonal adjustment
  • Using TERROR
  • Computer work involving a wide range of sample series

The course will involve the practical application of concepts through the use of case studies, group discussion, and computer exercises.

Note: If time permits at the end of the course, participants will have the chance to work on sample series provided or on their own series. Participants are encouraged to bring sample time series with them to class as either text files or in Excel format.

Windows® is a registered trademark of Microsoft Corporation



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Last modified: 1 Apr 2013