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PPT : Issues in Modeling and Adjusting Calendar Effects in Economic Time Series

Content Inside :

Outline
* Alternate Easter Regressors
o Define Regressors
o Model Diagnostics Used
o Results on Retail Sales Series
* One-Coefficient Stock Trading Day
o Define Regressor
o Results on Industrial Inventory Series

Alternate Easter Regressors

* Easter is the moving holiday that has the broadest effect in U. S. economic series
o Sales increase before Easter Holiday

* Determine if we can improve the Easter effect model

Basic Easter[w] Regressor

* Ew,t ? 0 only in Feb, Mar, and April

Alternate 2-Part Easter Regressor

* Assumes there are two effects:
o Pre-Easter effect before Good Friday
o Easter duration effect from Good Friday to Easter

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PPT : Issues in Modeling and Adjusting Calendar Effects in Economic Time Series.ppt


PPT : Issues in Modeling and Adjusting Calendar Effects in Economic Time Series Category : Stock Trading
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Language : English
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