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.
1
definition
Name
2
annual totals
3
4
5
6
7
8
spectral seas peaks
spectral td peaks
normality
independence
spectral td peaks
spectral seas peaks
Description
Inspection of the definition constraints (basic relationships between
different components of the time series)
The test compares the annual totals of the original series and those of
the seasonally adjusted series.
Visual significance of seasonal peaks
Visual significance of trading day peaks
The joint Doornik-Hansen normality test
Ljung-Box test
Test based on the periodogram of the residuals
Test based on the periodogram of the residuals
Section
basic checks
visual spectral analysis
regarima residuals
1
No.
9
10
11
12
13
Name
residual seasonality on sa
residual seasonality on sa (last 3 years)
residual seasonality on irregular
number of outliers
seas variance
14
irregular variance
15
seas/irr cross-correlation
Description
F-test on stable seasonality
F-test on stable seasonality
F-test on stable seasonality
Number of outliers
Variance of seasonal component, its theoretical estimator and
empirical estimate
Variance of irregular component, its theoretical estimator and
empirical estimate
Cross-correlation between seasonal and irregular component
Section
residual seasonality
outliers
seats
Additional quality measures:
No.
Name
Mean
Skewness
Kurtosis
Normality
Ljung-Box(16) (24 for monthly data)
Box-Pierce(16) (24 for monthly data)
Ljung-Box on seasonality(3)
Box-Pierce on seasonality(3)
Runs around the mean: number
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)
Box-Pierce on squared residuals (16)
(24 for monthly data)
Trend
Description
Distribution of the residuals
Doornik-Hansen normality test
Ljung-Box test on residuals
Box-Pierce test on residuals
Ljung-Box test on seasonal residuals
Box-Pierce test on seasonal residuals
Wald-Wolfowitz test
Ljung-Box on squared residuals
Section
Pre-processing ->Residuals
(Normality of the residuals)
Pre-processing ->Residuals
(Independence of the residuals)
Pre-processing ->Residuals
(Randomness of the residuals)
Pre-processing ->Residuals
(Linearity of the residuals)
Box-Pierce on squared residuals
Trend-cycle innovation variance
Decomposition (Innovation
2
No.
Name
Seasonal
Irregular
trend
sa
seasonal
irregular
trend
sa
seasonal
irregular
trend/seasonal
trend/irregular
seasonal/irregular
Friedman test
Kruskall-Wallis test
Test for the presence of seasonality
assuming stability
Evolutive seasonality test
Combined seasonality test
Residual seasonality test
Relative (or absolute) difference in SA
series
Relative (or absolute) difference in trend
Friedman test
Kruskal-Wallis
Evolutive seasonality test
Indenifable seasonality test
Abnormal values (%)
Description
Seasonal component innovation variance
Irregular component innovation variance
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
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
Comparison of cross-correlation between theoretical estimators
with cross-correlation between empirical estimates
Friedman test
Kruskall-Wallis test
Test for the presence of seasonality assuming stability
Evolutive seasonality test
Combined seasonality test
Residual seasonality test
Relative (or absolute) difference between the initial estimate and
the latest estimate os SA series
Relative (or absolute) difference between the initial estimate and
the latest estimate of the trend-cycle
Friedman test applied to the each span
Kruskal-Wallis test applied to the each span
Evolutive seasonality test applied to the each span
Combined seasonality test applied to the each span
% of ubnormal values in seasonal coponent, trading day
component and seasonally adjusted series
Section
variance)
Decomposition-> Model based
tests
Diagnostic ->seasonality tests
Diagnostic ->Revision history
Diagnostic ->Sliding spans
3
2. possible enhancement
Indicators and statistics used in TRAMO/SEATS that can be add to the Quality Report:
No.
Indicator/statistics
1
Comparison of variances among the
theoretical component, theoretical
estimator and empirical estimate
2
3
4
5
6
Check of the cross-correlation between
theoretical estimator and empirical
estimate
Check of autocorrelation coefficients of
theoretical estimator and empirical
estimate at lags 1 and 4 (or 12 for
monthly series)
Residual seasonality on SA, i.e. F-test on
stable seasonality (on both the stochastic
and the final SA component)
Out of sample forecasting test
Average of the absolute value of the
differences between the annual averages
of the original series, SA series and TC
Available in Demetra+
Partially
Yes
Yes
Partially
No
No
Remarks
It is already available in the QR for
seasonal and irregular components (the
cycle-trend component could be
added)
For seasonal-irregular is already
available in the QR, trend-irregular and
trend-seasonal could be added
To be included in the QR
This comparison may highlight the
presence of outliers at the same
month of different (contiguous) years
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.
4
Other output, indicators and statistics used in TRAMO/SEATS that can be add to diagnostic section in Demetra+:
No.
1
2
Standard deviation of the SEATS residuals
Out of sample forecasting test in TRAMO part
3
Difference’s order in SEATS (when the model identified in TRAMO does not admit a decomposition)
4
5
Modulus and frequency of autoregressive roots
Long term trend, the cycle and the stochastic trading day with forecasts
6
7
Innovation variance of component (not expressed in units of var(residuals))
Confidence intervals in the graphs (and tables) for the SA series, trend-cycle and business cycle1.
8
Period to period rate of growth (multiplicative model) or growth expressed in the series units (additive
model)
Annual rate of growth, centred at the last available observation and extended with forecast
Standard errors of p-to-p rates of growth of trend and seasonally adjusted data
Standard errors of rates of annual growth of trend and seasonally adjusted data
% Reduction in revision S.E. after one year of data and five years
9
10
11
12
13
1
Indicator/statistics
Standard error of both the total estimation error and the revision error in concurrent estimator (not
expressed in units of var(residuals))
Remarks/source
Suggested by A. Marvall to add it to
Demetra+
Suggested by A. Marvall to add it to
Demetra+
Now only frequency is available
Suggested by A. Marvall to add it to
Demetra+
Suggested by A. Marvall to add it to
Demetra+
Only graphical representation is available
now (panel Revision error in node Errors
analysis)
Only graphical representation is available
now, Maravall A., Seasonal Adjustment
and Signal Extraction in Economic Time
Series
Bussines cycle is not calculated in Demetra+ at the moment.
5