TRAMO/SEATS Quality Report
Introduction
This document presents the list of possible enhancement to the existing TRAMO/SEATS quality diagnostic in Demetra+. It is intended for discussion about possible improvements in diagnostic check for TRAMO/SEATS. The document is divided into two section.
First one provides a current composition of Quality Report, displayed in Demetra+ “Main results” section. These measures determine the value of the final flag (bad/uncertain/good). Moreover, the list of additional quality measures displayed in the other part of the output is presented.
Next part presents the list of indicators and statistics used in TRAMO/SEATS that can be add to the Quality Report and hence participate in a summary value. Also additional output, indicators and statistics used by original TRAMO/SEATS program that can be add to diagnostic section in Demetra+ have been listed. Those statistics are not expected to be added to the Quality Report, however as they are regarded to be highly informative, it is suggested to include them into Demetra+ diagnostics.
1. current situation
Main quality measures included into Quality Report:
No. / Name / Description / Section1 / definition / Inspection of the definition constraints (basic relationships between different components of the time series) / basic checks
2 / annual totals / The test compares the annual totals of the original series and those of the seasonally adjusted series.
3 / spectral seas peaks / Visual significance of seasonal peaks / visual spectral analysis
4 / spectral td peaks / Visual significance of trading day peaks
5 / normality / The joint Doornik-Hansen normality test / regarima residuals
6 / independence / Ljung-Box test
7 / spectral td peaks / Test based on the periodogram of the residuals
8 / spectral seas peaks / Test based on the periodogram of the residuals
9 / residual seasonality on sa / F-test on stable seasonality / residual seasonality
10 / residual seasonality on sa (last 3 years) / F-test on stable seasonality
11 / residual seasonality on irregular / F-test on stable seasonality
12 / number of outliers / Number of outliers / outliers
13 / seas variance / Variance of seasonal component,its theoretical estimator and empirical estimate / seats
14 / irregular variance / Variance of irregular component, its theoretical estimator and empirical estimate
15 / seas/irr cross-correlation / Cross-correlation between seasonal and irregular component
Additional quality measures:
No. / Name / Description / SectionMean / Distribution of the residuals / Pre-processing ->Residuals (Normality of the residuals)
Skewness
Kurtosis
Normality / Doornik-Hansen normality test
Ljung-Box(16) (24 for monthly data) / Ljung-Box test on residuals / Pre-processing ->Residuals (Independence of the residuals)
Box-Pierce(16) (24 for monthly data) / Box-Pierce test on residuals
Ljung-Box on seasonality(3) / Ljung-Box test on seasonal residuals
Box-Pierce on seasonality(3) / Box-Pierce test on seasonal residuals
Runs around the mean: number / Wald-Wolfowitz test / Pre-processing ->Residuals (Randomness of the residuals)
Runs around the mean: length
Up and Down runs: number
Up and Down runs: length
Ljung-Box on squared residuals(16)
(24 for monthly data) / Ljung-Box on squared residuals / Pre-processing ->Residuals (Linearity of the residuals)
Box-Pierce on squared residuals(16)
(24 for monthly data) / Box-Pierce on squared residuals
Trend / Trend-cycle innovation variance / Decomposition (Innovation variance)
Seasonal / Seasonal component innovation variance
Irregular / Irregular component innovation variance
trend / Comparison of variances among the theoretical component, theoretical estimator and empirical estimate – for each component (including transitory component if present) and for seasonally adjusted data / Decomposition-> Model based tests
sa
seasonal
irregular
trend / Comparison of autocorrelation function of theoretical component, theoretical estimator and empirical estimate – for each component (including transitory component if present) and for seasonally adjusted data
sa
seasonal
irregular
trend/seasonal / Comparison of cross-correlation between theoretical estimatorswith cross-correlation between empirical estimates
trend/irregular
seasonal/irregular
Friedman test / Friedman test / Diagnostic ->seasonality tests
Kruskall-Wallis test / Kruskall-Wallis test
Test for the presence of seasonality assuming stability / Test for the presence of seasonality assuming stability
Evolutive seasonality test / Evolutive seasonality test
Combined seasonality test / Combined seasonality test
Residual seasonality test / Residual seasonality test
Relative (or absolute) difference in SA series / Relative (or absolute) difference between the initial estimate and the latest estimateos SA series / Diagnostic ->Revision history
Relative (or absolute) difference in trend / Relative (or absolute) difference between the initial estimate and the latest estimateof the trend-cycle
Friedman test / Friedman test applied to the each span / Diagnostic ->Sliding spans
Kruskal-Wallis / Kruskal-Wallis test applied to the each span
Evolutive seasonality test / Evolutive seasonality test applied to the each span
Indenifableseasonality test / Combined seasonality test applied to the each span
Abnormal values (%) / % of ubnormal values in seasonalcoponent, trading day component and seasonally adjusted series
2.possible enhancement
Indicators and statistics used in TRAMO/SEATS that can be add to the Quality Report:
No. / Indicator/statistics / Available in Demetra+ / Remarks1 / Comparison of variances among the theoretical component, theoretical estimator and empirical estimate / Partially / It is already available in the QR for seasonal and irregular components (the cycle-trend component could be added)
2 / Check of the cross-correlationbetween theoretical estimator and empirical estimate / Yes / For seasonal-irregular is already available in the QR, trend-irregular and trend-seasonal could be added
3 / Check of autocorrelation coefficients of theoretical estimator and empirical estimate at lags 1 and 4 (or 12 for monthly series) / Yes / To be included in the QR
4 / Residual seasonality on SA, i.e. F-test on stable seasonality (on both the stochastic and the final SA component) / Partially / This comparison may highlight the presence of outliers at the same month of different (contiguous) years
5 / Out of sample forecasting test / No
6 / Average of the absolute value of the differences between the annual averages of the original series, SA series and TC / No / Only the outcome of annual totals test is available now (I think that in the QR the result of the test is OK)
Remark: Often the test on spectral seas peaks on residuals detects the presence of seasonality due to a peak on/near the last seasonal frequency. Perhaps the latter could be excluded from the current Quality report.
Other output, indicators and statistics used in TRAMO/SEATS that can be add to diagnostic section in Demetra+:
No. / Indicator/statistics / Remarks/source1 / Standard deviation of the SEATS residuals
2 / Out of sample forecasting test in TRAMO part / Suggested by A. Marvall to add it to Demetra+
3 / Difference’s order in SEATS (when the model identified in TRAMO does not admit a decomposition) / Suggested by A. Marvall to add it to Demetra+
4 / Modulus and frequency of autoregressive roots / Now only frequency is available
5 / Long term trend, the cycle and the stochastic trading day with forecasts / Suggested by A. Marvall to add it to Demetra+
6 / Innovation variance of component (not expressed in units of var(residuals))
7 / Confidence intervals in the graphs (and tables) for the SA series, trend-cycle and business cycle[1]. / Suggested by A. Marvall to add it to Demetra+
8 / Period to period rate of growth (multiplicative model) or growth expressed in the series units (additive model)
9 / Annual rate of growth, centred at the last available observation and extended with forecast
10 / Standard errorsof p-to-p rates of growth of trend and seasonally adjusted data
11 / Standard errorsof rates of annual growth of trend and seasonally adjusted data
12 / % Reduction in revision S.E. after one year of data and five years / Only graphical representation is available now (panel Revision error in node Errors analysis)
13 / Standard error of both the total estimation error and the revision error in concurrent estimator(not expressed in units of var(residuals)) / Only graphical representation is available now, Maravall A., Seasonal Adjustment and Signal Extraction in Economic Time Series
1
[1]Bussines cycle is not calculated in Demetra+ at the moment.