Stock Series Holiday Regressors Generated from Flow Series Holiday Regressors

Taiwan Economic Forecast and Policy, Vol. 43 (1), 1-48, 2012

48 Pages Posted: 6 Jan 2013 Last revised: 8 Jan 2013

See all articles by David Findley

David Findley

Center for Statistical Research and Methodology

Brian Monsell

Center for Statistical Research and Methodology

Tony Chieh-tse Hou

National Dong Hwa University

Date Written: October 1, 2012

Abstract

Stock economic time series, such as end-of-month inventories, arise as the cumulative sum of monthly inflows and outflows over time, i.e., as accumulations of monthly net flows. In this article, we derive holiday regressors for stock series from cumulative sums of flow-series holiday regressors. This is similar to how stock trading day regressors have been derived. The stock holiday regressors from this approach have a very simple and appealing form when the flow regressors have standard properties. The modeling, forecasting and graphical results we present, for Easter effects in U.S. manufacturing inventories and for Chinese New Year effects in economic indicator inventory series of Taiwan, confirm the utility of this first general approach tomodeling stock holiday effects. As with estimated holiday effects fromflowseries,we find that stock holiday effects are usually larger than trading day effects but smaller than seasonal effects.

Keywords: inventory time series, seasonal adjustment, holiday effects, moving holidays, forecasting, Easter effects, Chinese New Year effects, X-12-ARIMA, X-13ARIMA-SEATS

JEL Classification: C82, C87

Suggested Citation

Findley, David and Monsell, Brian and Hou, Tony Chieh-tse, Stock Series Holiday Regressors Generated from Flow Series Holiday Regressors (October 1, 2012). Taiwan Economic Forecast and Policy, Vol. 43 (1), 1-48, 2012, Available at SSRN: https://ssrn.com/abstract=2196947

David Findley (Contact Author)

Center for Statistical Research and Methodology ( email )

4600 Silver Hill Road
Washington, DC 20233-9100
United States

Brian Monsell

Center for Statistical Research and Methodology ( email )

4600 Silver Hill Road
Washington, DC 20233-9100
United States

Tony Chieh-tse Hou

National Dong Hwa University ( email )

No. 1, Sec. 2, Da Hsueh Rd.
Shoufeng
Hualien, 97401
Taiwan

HOME PAGE: http://faculty.ndhu.edu.tw/~tonycthou/

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