COMERCIO

TIME SERIES REGRESSION MODELS WITH ARIMA ERRORS, MISSING VALUES AND OUTLIERS.
BETA VERSION (*)

BY

VICTOR GOMEZ & AGUSTIN MARAVALL

with the programming assistance of G. CAPORELLO

(*) Copyright : V. GOMEZ, A. MARAVALL (1994,1996)

SERIES TITLE=comercio

SINCE LONGER FORECAST FUNCTION IS REQUIRED

BY SEATS, NPRED CHANGED TO ( 8)

ORIGINAL SERIES

NUMBER OF OBSERVATIONS: 84

X 10.0D2

YEAR 1ST 2ND 3RD 4TH

2000 118.103 122.879 124.198 138.592
2001 130.337 133.857 133.923 150.052
2002 141.383 143.681 144.814 160.962
2003 152.884 154.568 152.902 170.068
2004 161.463 162.929 161.945 179.889
2005 169.580 175.347 179.737 197.538
2006 187.023 193.067 192.291 213.999
2007 208.532 209.818 207.865 231.306
2008 219.435 212.762 205.727 226.623
2009 195.181 188.393 180.223 200.052
2010 186.551 183.608 177.233 202.406
2011 186.719 186.253 178.705 199.222
2012 187.036 186.303 181.634 202.915
2013 191.817 188.755 187.053 208.008
2014 196.491 196.702 195.999 216.970
2015 205.353 205.307 206.822 225.811
2016 220.976 215.677 214.803 235.811
2017 227.538 224.240 225.321 247.291
2018 238.655 238.002 239.745 258.457
2019 249.048 248.669 247.111 267.992
2020 238.808 201.797 234.689 245.868

MODEL PARAMETERS
----------------
MQ= 4 IMEAN= 1 LAM= -1 D= 1 BD= 1
P= 0 BP= 0 Q= 1 BQ= 1 IREG= 0
ITRAD= 0 IEAST= 0 IDUR= 6 M= 36 IQM= 16
INCON= 0 NBACK= 0 NPRED= 8 INTERP= 2 INIT= 0
IFILT= 2 IDENSC= 1 IROOT= 2 INIC= 3 ICONCE= 1
ICDET= 1 IATIP= 1 IMVX= 0 IDIF= 3 PG= 0
AIO= 2 INT1= 1 INT2= 84 RSA= 3 SEATS= 2
VA= 3.09 TOL= 0.100E-03 PC= 0.120E+00
NOADMISS= 1 BIAS= 1 SMTR= 0
THTR= -0.400 RMOD= 0.500 MAXBIAS= 0.500
TH = -0.10

BTH = -0.10

NUMBER OF INITIAL OBS. = 5

MEAN IS NOT SIGNIFICANT:

IMEAN CHANGED TO 0

Log-Level pretest : LOGS are Selected

TRANSFORMED SERIES (LOGARITHMS OF THE DATA)

YEAR 1ST 2ND 3RD 4TH

2000 9.377 9.416 9.427 9.537
2001 9.475 9.502 9.502 9.616
2002 9.557 9.573 9.581 9.686
2003 9.635 9.646 9.635 9.741
2004 9.689 9.698 9.692 9.798
2005 9.738 9.772 9.797 9.891
2006 9.836 9.868 9.864 9.971
2007 9.945 9.951 9.942 10.049
2008 9.996 9.965 9.932 10.028
2009 9.879 9.844 9.799 9.904
2010 9.834 9.818 9.783 9.915
2011 9.835 9.832 9.791 9.900
2012 9.836 9.833 9.807 9.918
2013 9.862 9.846 9.837 9.943
2014 9.886 9.887 9.883 9.985
2015 9.930 9.930 9.937 10.025
2016 10.003 9.979 9.975 10.068
2017 10.032 10.018 10.023 10.116
2018 10.080 10.077 10.085 10.160
2019 10.123 10.121 10.115 10.196
2020 10.081 9.912 10.063 10.110

AUTOMATIC MODEL IDENTIFICATION BEGINS

MODEL FINALLY CHOSEN:

(0,1,0)(0,1,1)

WITHOUT MEAN

WITHOUT TRADING DAY CORRECTION

WITHOUT EASTER CORRECTION

OUTLIERS

82 AO ( 2 2020)
37 LS ( 1 2009)
81 LS ( 1 2020)

METHOD OF ESTIMATION: EXACT MAXIMUM LIKELIHOOD

 PARAMETER ESTIMATE STD ERROR T RATIO LAG

MA2 1 -.11142 0.11677 -0.95 4

SEASONAL MA INVERSE ROOTS ARE

NO. REAL P. IMAG.P. MODULUS ARGUMENT PERIOD
1 0.11142 0.0000 0.11142 0.0000 0.93397-306

CORRELATIONS OF THE ESTIMATES

1.0000

AIC
-438.4044

BIC
-8.2680

FINAL VALUE OF OBJECTIVE FUNCTION:

0.16259E-01

ITERATIONS: 1

NUMBER OF FUNCTION EVALUATIONS: 4

ESTIMATES OF REGRESSION PARAMETERS

CONCENTRATED OUT OF THE LIKELIHOOD

PARAMETER VALUE ST. ERROR T VALUE

OUT 1 ( 82) -.16120 ( 0.01041) -15.49 AO ( 2 2020)
OUT 2 ( 37) -.88906E-01 ( 0.01097) -8.10 LS ( 1 2009)
OUT 3 ( 81) -.78397E-01 ( 0.01472) -5.33 LS ( 1 2020)

COVARIANCE MATRIX OF ESTIMATORS

0.108E-03 0.000E+00 0.000E+00

0.000E+00 0.120E-03 0.315E-13
0.000E+00 0.315E-13 0.217E-03

NUMBER OF WHITE NOISE RESIDUALS 76

WHITE NOISE RESIDUALS

0.0019 -0.0120 0.0062 -0.0076 0.0082 -0.0065 -0.0180

-0.0002
0.0005 -0.0026 0.0028 -0.0013 -0.0070 0.0241 0.0311
-0.0108
0.0035 0.0010 -0.0253 0.0113 0.0292 -0.0255 -0.0081
0.0012
-0.0236 -0.0399 -0.0252 -0.0100 -0.0028 -0.0090 -0.0135
0.0065
-0.0173 0.0185 0.0075 0.0292 -0.0127 0.0155 -0.0052
-0.0209
0.0161 0.0003 0.0154 -0.0002 0.0087 -0.0121 0.0180
-0.0046
0.0003 0.0158 0.0075 -0.0051 0.0020 0.0005 0.0118
-0.0144
0.0336 -0.0240 -0.0101 0.0039 -0.0103 0.0070 0.0077
0.0002
-0.0010 0.0126 0.0034 -0.0179 -0.0016 0.0026 -0.0132
0.0040
-0.0040 0.0037 -0.0145 -0.0341
 TEST-STATISTICS ON RESIDUALS
----------------------------

MEAN= -0.0013018
ST.DEV.= 0.0016706
OF MEAN
T-VALUE= -0.7792

NORMALITY TEST= 0.1286 ( CHI-SQUARED(2) )

SKEWNESS= 0.0134 ( SE = 0.2810 )

KURTOSIS= 3.1997 ( SE = 0.5620 )

SUM OF SQUARES= 0.1624856E-01

DURBIN-WATSON= 1.9869

STANDARD ERROR= 0.1481653E-01

OF RESID.
MSE OF RESID.= 0.2195295E-03

AUTOCORRELATIONS
----------------
-0.0294 0.0543 0.1645 0.0065 -0.0811 0.1256 0.0958 -0.1559 0.0201
-0.1107 -0.1878 -0.0511
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
Q 0.07 0.30 2.50 2.51 3.06 4.39 5.18 7.30 7.33
8.43 11.65 11.89
PV -1.00 0.58 0.29 0.47 0.55 0.49 0.52 0.40 0.50
0.49 0.31 0.37
-0.0649 -0.0393 0.0970 -0.0808 -0.0454 -0.0093 -0.0113 0.0044 0.1349
-0.0613 0.0164 -0.0500
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
Q 12.29 12.44 13.35 14.00 14.20 14.21 14.23 14.23 16.19
16.60 16.63 16.92
PV 0.42 0.49 0.50 0.53 0.58 0.65 0.71 0.77 0.70
0.74 0.78 0.81
-0.1276 -0.0469 0.0227 -0.0285 -0.0117 0.0272 -0.0262 -0.0467 0.0649
-0.0459 -0.0678 0.1381
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
Q 18.81 19.07 19.13 19.23 19.25 19.35 19.44 19.73 20.31
20.61 21.27 24.10
PV 0.76 0.79 0.83 0.86 0.89 0.91 0.93 0.94 0.95
0.95 0.96 0.92

LJUNG-BOX Q VALUE OF ORDER 16 IS 14.00 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(15)

PARTIAL AUTOCORRELATIONS
---------------------
-0.0294 0.0535 0.1683 0.0149 -0.1023 0.0936 0.1177 -0.1432 -0.0434
-0.1373 -0.1415 -0.0418
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
-0.0639 0.0316 0.1540 -0.0716 -0.0140 -0.0299 -0.0139 0.0199 0.0570
-0.1230 0.0187 -0.1162
 SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
-0.1183 -0.0251 0.0011 0.0084 0.0240 -0.0260 0.0772 -0.0115 0.0212
-0.0765 -0.1634 0.0457
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147

APPROXIMATE TEST OF RUNS ON RESIDUALS

-------------------------------------
NUM.DATA= 76
NUM.(+)= 38
NUM.(-)= 38
NUM.RUNS= 48
T-VALUE= 2.0786

SQUARED RESIDUALS:
------------------

AUTOCORRELATIONS
----------------
0.2689 -0.0649 -0.1366 0.0347 0.0917 -0.0011 0.1477 -0.0368 -0.1473
0.0715 0.1385 0.0283
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
Q 5.72 6.05 7.57 7.67 8.37 8.37 10.24 10.36 12.28
12.74 14.49 14.56
PV -1.00 0.01 0.02 0.05 0.08 0.14 0.11 0.17 0.14
0.17 0.15 0.20
-0.1535 -0.0247 -0.0545 -0.1706 -0.0706 -0.0678 0.1428 -0.0450 0.1413
-0.0358 -0.1287 -0.0718
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
Q 16.78 16.84 17.13 20.00 20.50 20.97 23.09 23.31 25.46
25.60 27.45 28.04
PV 0.16 0.21 0.25 0.17 0.20 0.23 0.19 0.22 0.18
0.22 0.19 0.21
-0.0818 -0.0525 -0.1461 -0.1101 -0.0512 -0.0102 0.1449 0.0690 -0.0791
-0.1286 0.0221 0.0975
SE 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147 0.1147
0.1147 0.1147 0.1147
Q 28.82 29.15 31.73 33.22 33.55 33.57 36.33 36.98 37.84
40.17 40.24 41.65
PV 0.23 0.26 0.20 0.19 0.22 0.26 0.20 0.21 0.22
0.18 0.21 0.20

LJUNG-BOX Q VALUE OF ORDER 16 IS 20.00 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(15)

FORECASTS:

ORIGIN: 84 NUMBER: 8

OBS FORECAST STD ERROR ACTUAL RESIDUAL

FORECAST STD ERROR
(TR. SERIES) (
ORIGINAL SERIES)
85 10.0731 0.196903E-01
23696.1 466.628
86 10.0665 0.262657E-01
23540.2 618.406
 87 10.0569 0.286532E-01
23315.3 668.195
88 10.1072 0.322126E-01
24519.0 790.025
89 10.0703 0.482033E-01
23630.7 1139.74
90 10.0637 0.564076E-01
23475.3 1325.24
91 10.0541 0.622014E-01
23251.0 1447.65
92 10.1044 0.681303E-01
24451.4 1667.82

LINEAR SERIES

X 10.0D2

YEAR 1ST 2ND 3RD 4TH

2000 118.103 122.879 124.198 138.592
2001 130.337 133.857 133.923 150.052
2002 141.383 143.681 144.814 160.962
2003 152.884 154.568 152.902 170.068
2004 161.463 162.929 161.945 179.889
2005 169.580 175.347 179.737 197.538
2006 187.023 193.067 192.291 213.999
2007 208.532 209.818 207.865 231.306
2008 219.435 212.762 205.727 226.623
2009 213.328 205.909 196.980 218.652
2010 203.896 200.679 193.712 221.225
2011 204.080 203.570 195.321 217.745
2012 204.426 203.625 198.522 221.782
2013 209.652 206.305 204.445 227.348
2014 214.760 214.991 214.222 237.143
2015 224.446 224.396 226.052 246.806
2016 241.522 235.730 234.775 257.736
2017 248.694 245.089 246.271 270.283
2018 260.845 260.131 262.036 282.488
2019 272.204 271.790 270.087 292.909
2020 282.298 280.272 277.429 290.644

TOTAL OUTLIER EFFECT FACTORS

YEAR 1ST 2ND 3RD 4TH

2000 100.000 100.000 100.000 100.000
2001 100.000 100.000 100.000 100.000
2002 100.000 100.000 100.000 100.000
2003 100.000 100.000 100.000 100.000
2004 100.000 100.000 100.000 100.000
2005 100.000 100.000 100.000 100.000
2006 100.000 100.000 100.000 100.000
2007 100.000 100.000 100.000 100.000
2008 100.000 100.000 100.000 100.000
2009 91.493 91.493 91.493 91.493
2010 91.493 91.493 91.493 91.493
2011 91.493 91.493 91.493 91.493
2012 91.493 91.493 91.493 91.493
2013 91.493 91.493 91.493 91.493
2014 91.493 91.493 91.493 91.493
2015 91.493 91.493 91.493 91.493
2016 91.493 91.493 91.493 91.493
2017 91.493 91.493 91.493 91.493
2018 91.493 91.493 91.493 91.493
2019 91.493 91.493 91.493 91.493
2020 84.594 72.000 84.594 84.594

ELAPSED TIME IS 0.0100 "

 EXPORTACIONES

TIME SERIES REGRESSION MODELS WITH ARIMA ERRORS, MISSING VALUES AND OUTLIERS.
BETA VERSION (*)

BY

VICTOR GOMEZ & AGUSTIN MARAVALL

with the programming assistance of G. CAPORELLO

(*) Copyright : V. GOMEZ, A. MARAVALL (1994,1996)

SERIES TITLE=exportac

SINCE LONGER FORECAST FUNCTION IS REQUIRED

BY SEATS, NPRED CHANGED TO ( 8)

ORIGINAL SERIES

NUMBER OF OBSERVATIONS: 84

X 10.0D3

YEAR 1ST 2ND 3RD 4TH

2000 22.311 25.070 26.047 28.980
2001 28.695 29.237 28.559 29.768
2002 31.749 31.467 29.846 29.947
2003 28.300 29.094 28.876 31.415
2004 30.167 31.909 30.970 32.705
2005 31.629 34.213 33.743 35.857
2006 34.977 36.680 36.877 37.615
2007 38.311 40.680 39.187 41.126
2008 38.473 39.654 38.942 40.873
2009 39.909 40.856 38.716 39.116
2010 40.575 43.936 44.644 43.665
2011 43.366 44.709 44.289 44.930
2012 44.079 45.842 46.322 47.128
2013 44.050 47.860 47.321 47.420
2014 47.839 53.799 55.743 57.451
2015 74.565 78.299 82.073 86.147
2016 78.870 80.231 82.628 87.100
2017 84.452 86.916 89.125 99.851
2018 91.974 98.657 100.917 109.506
2019 106.896 110.225 115.276 123.756
2020 118.762 113.762 121.362 144.968

MODEL PARAMETERS
----------------
MQ= 4 IMEAN= 1 LAM= -1 D= 1 BD= 1
P= 0 BP= 0 Q= 1 BQ= 1 IREG= 0
ITRAD= 0 IEAST= 0 IDUR= 6 M= 36 IQM= 16
INCON= 0 NBACK= 0 NPRED= 8 INTERP= 2 INIT= 0
IFILT= 2 IDENSC= 1 IROOT= 2 INIC= 3 ICONCE= 1
ICDET= 1 IATIP= 1 IMVX= 0 IDIF= 3 PG= 0
AIO= 2 INT1= 1 INT2= 84 RSA= 3 SEATS= 2
VA= 3.09 TOL= 0.100E-03 PC= 0.120E+00
NOADMISS= 1 BIAS= 1 SMTR= 0
THTR= -0.400 RMOD= 0.500 MAXBIAS= 0.500
TH = -0.10

BTH = -0.10

NUMBER OF INITIAL OBS. = 5

Log-Level pretest : LOGS are Selected

TRANSFORMED SERIES (LOGARITHMS OF THE DATA)

YEAR 1ST 2ND 3RD 4TH

2000 10.013 10.129 10.168 10.274
2001 10.264 10.283 10.260 10.301
2002 10.366 10.357 10.304 10.307
2003 10.251 10.278 10.271 10.355
2004 10.315 10.371 10.341 10.395
2005 10.362 10.440 10.427 10.487
2006 10.462 10.510 10.515 10.535
2007 10.554 10.613 10.576 10.624
2008 10.558 10.588 10.570 10.618
2009 10.594 10.618 10.564 10.574
2010 10.611 10.690 10.706 10.684
2011 10.677 10.708 10.698 10.713
2012 10.694 10.733 10.743 10.761
2013 10.693 10.776 10.765 10.767
2014 10.776 10.893 10.929 10.959
2015 11.219 11.268 11.315 11.364
2016 11.276 11.293 11.322 11.375
2017 11.344 11.373 11.398 11.511
2018 11.429 11.499 11.522 11.604
2019 11.580 11.610 11.655 11.726
2020 11.685 11.642 11.707 11.884

MEAN IS NOT SIGNIFICANT:

IMEAN CHANGED TO 0

AUTOMATIC MODEL IDENTIFICATION BEGINS

MODEL FINALLY CHOSEN:

(0,1,1)(0,1,1)

WITHOUT MEAN

WITHOUT TRADING DAY CORRECTION

WITHOUT EASTER CORRECTION

OUTLIERS

61 LS ( 1 2015)
9 TC ( 1 2002)

METHOD OF ESTIMATION: EXACT MAXIMUM LIKELIHOOD

 PARAMETER ESTIMATE STD ERROR T RATIO LAG

MA1 1 0.15669 0.11372 1.38 1

MA2 1 -.60159 0.11518 -5.22 4

REGULAR MA INVERSE ROOTS ARE

NO. REAL P. IMAG.P. MODULUS ARGUMENT PERIOD
1 -.15669 0.0000 0.15669 180.00 2.0

SEASONAL MA INVERSE ROOTS ARE

NO. REAL P. IMAG.P. MODULUS ARGUMENT PERIOD
1 0.60159 0.0000 0.60159 0.0000 -

CORRELATIONS OF THE ESTIMATES

1.0000 0.0414
0.0414 1.0000

AIC
-292.8283

BIC
-6.4477

FINAL VALUE OF OBJECTIVE FUNCTION:

0.10265

ITERATIONS: 3

NUMBER OF FUNCTION EVALUATIONS: 7

ESTIMATES OF REGRESSION PARAMETERS

CONCENTRATED OUT OF THE LIKELIHOOD

PARAMETER VALUE ST. ERROR T VALUE

OUT 1 ( 61) 0.30271 ( 0.03235) 9.36 LS ( 1 2015)
OUT 2 ( 9) 0.11371 ( 0.02987) 3.81 TC ( 1 2002)

COVARIANCE MATRIX OF ESTIMATORS

0.105E-02 0.424E-06
0.424E-06 0.892E-03

NUMBER OF WHITE NOISE RESIDUALS 77

WHITE NOISE RESIDUALS

-0.0496 -0.0033 -0.0439 -0.0310 -0.0476 -0.0289 -0.0029

0.0110
0.0393 -0.0172 0.0223 -0.0226 -0.0040 -0.0003 0.0330
-0.0013
0.0014 0.0074 -0.0126 0.0233 -0.0440 0.0546 -0.0030
-0.0295
0.0088 -0.0578 -0.0174 0.0040 0.0020 0.0086 -0.0240
-0.0312
-0.0317 0.0708 0.0314 0.0439 -0.0613 0.0057 -0.0244
0.0077
0.0026 -0.0150 -0.0031 0.0227 0.0016 -0.0574 0.0495
-0.0161
-0.0095 0.0434 0.0520 0.0336 0.0156 0.0453 -0.0403
0.0430
0.0241 -0.0946 -0.0369 0.0102 0.0212 -0.0006 -0.0194
0.0014
 0.0744 -0.0613 0.0393 -0.0096 0.0145 0.0259 -0.0257
0.0241
-0.0067 0.0009 -0.0868 0.0456 0.0979

TEST-STATISTICS ON RESIDUALS
----------------------------

MEAN= -0.0001168
ST.DEV.= 0.0041133
OF MEAN
T-VALUE= -0.0284

NORMALITY TEST= 0.1345 ( CHI-SQUARED(2) )

SKEWNESS= -0.0452 ( SE = 0.2791 )

KURTOSIS= 3.1837 ( SE = 0.5583 )

SUM OF SQUARES= 0.1003136

DURBIN-WATSON= 2.0593

STANDARD ERROR= 0.3657205E-01

OF RESID.
MSE OF RESID.= 0.1337515E-02

AUTOCORRELATIONS
----------------
-0.0897 -0.0269 -0.0296 -0.0099 0.0474 -0.0870 0.0353 -0.1425 0.1155
-0.1895 -0.0065 0.0213
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 0.64 0.70 0.77 0.78 0.97 1.62 1.73 3.52 4.71
7.97 7.98 8.02
PV -1.00 -1.00 0.38 0.68 0.81 0.81 0.89 0.74 0.69
0.44 0.54 0.63
0.1110 -0.0559 -0.0746 0.1914 0.0078 0.0031 -0.2152 0.2124 0.0053
0.0027 0.0009 -0.2192
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 9.19 9.49 10.04 13.69 13.69 13.69 18.55 23.36 23.37
23.37 23.37 28.88
PV 0.60 0.66 0.69 0.47 0.55 0.62 0.35 0.18 0.22
0.27 0.32 0.15
0.1401 0.0651 0.1543 -0.1612 0.1193 -0.0800 -0.0527 0.0645 -0.0347
0.0898 -0.0539 0.0838
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 31.18 31.68 34.58 37.80 39.61 40.43 40.80 41.36 41.53
42.67 43.09 44.13
PV 0.12 0.14 0.10 0.06 0.06 0.06 0.07 0.08 0.10
0.10 0.11 0.11

LJUNG-BOX Q VALUE OF ORDER 16 IS 13.69 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(14)

PARTIAL AUTOCORRELATIONS
---------------------
-0.0897 -0.0352 -0.0356 -0.0171 0.0432 -0.0815 0.0225 -0.1431 0.0919
-0.1961 -0.0239 -0.0126
 SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
0.1318 -0.0938 -0.0281 0.1361 0.0684 -0.0651 -0.1776 0.1962 0.0171
-0.0089 0.0238 -0.1654
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
0.0550 0.1455 0.1943 -0.1318 0.0027 -0.0358 0.0505 -0.0054 -0.0420
0.0344 0.1069 0.0591
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140

APPROXIMATE TEST OF RUNS ON RESIDUALS

-------------------------------------
NUM.DATA= 77
NUM.(+)= 39
NUM.(-)= 38
NUM.RUNS= 44
T-VALUE= 1.1474

SQUARED RESIDUALS:
------------------

AUTOCORRELATIONS
----------------
0.0898 0.1491 -0.0798 -0.0557 -0.0962 -0.1349 0.0530 0.0349 -0.0146
0.1078 0.1081 0.2019
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 0.65 2.45 2.97 3.23 4.01 5.57 5.82 5.92 5.94
7.00 8.07 11.89
PV -1.00 -1.00 0.08 0.20 0.26 0.23 0.32 0.43 0.55
0.54 0.53 0.29
-0.0776 -0.0661 -0.0916 -0.0978 0.0976 -0.0440 0.2505 -0.0127 0.1272
-0.0141 -0.0459 0.0831
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 12.46 12.88 13.71 14.66 15.63 15.82 22.41 22.42 24.18
24.20 24.44 25.23
PV 0.33 0.38 0.39 0.40 0.41 0.47 0.17 0.21 0.19
0.23 0.27 0.29
0.0486 -0.0317 -0.1007 -0.0056 0.0607 0.0074 0.1048 0.0476 -0.0345
-0.0794 -0.1241 -0.0350
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 25.51 25.63 26.86 26.87 27.33 27.34 28.79 29.10 29.26
30.16 32.39 32.57
PV 0.32 0.37 0.36 0.42 0.45 0.50 0.48 0.51 0.56
0.56 0.50 0.54

LJUNG-BOX Q VALUE OF ORDER 16 IS 14.66 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(14)

FORECASTS:

ORIGIN: 84 NUMBER: 8

OBS FORECAST STD ERROR ACTUAL RESIDUAL

FORECAST STD ERROR
(TR. SERIES) (
ORIGINAL SERIES)
 85 11.8562 0.365862E-01
140953. 5158.64
86 11.8653 0.559289E-01
142246. 7961.92
87 11.9108 0.701252E-01
148861. 10451.8
88 12.0253 0.818965E-01
166931. 13694.0
89 11.9880 0.997230E-01
160817. 16077.1
90 11.9972 0.115949
162294. 18881.2
91 12.0426 0.130168
169841. 22201.7
92 12.1572 0.142979
190457. 27371.2

LINEAR SERIES

X 10.0D3

YEAR 1ST 2ND 3RD 4TH

2000 22.311 25.070 26.047 28.980
2001 28.695 29.237 28.559 29.768
2002 28.337 29.059 28.229 28.802
2003 27.538 28.543 28.493 31.122
2004 29.970 31.763 30.871 32.632
2005 31.579 34.175 33.717 35.838
2006 34.964 36.670 36.870 37.610
2007 38.308 40.678 39.185 41.125
2008 38.472 39.653 38.941 40.873
2009 39.908 40.856 38.716 39.116
2010 40.575 43.936 44.644 43.665
2011 43.365 44.709 44.289 44.930
2012 44.079 45.842 46.322 47.128
2013 44.050 47.860 47.321 47.420
2014 47.838 53.798 55.743 57.451
2015 55.089 57.849 60.637 63.647
2016 58.270 59.276 61.046 64.350
2017 62.394 64.215 65.847 73.772
2018 67.952 72.889 74.559 80.905
2019 78.977 81.436 85.168 91.433
2020 87.743 84.049 89.664 107.105

TOTAL OUTLIER EFFECT FACTORS

YEAR 1ST 2ND 3RD 4TH

2000 100.000 100.000 100.000 100.000
2001 100.000 100.000 100.000 100.000
2002 112.043 108.285 105.730 103.977
2003 102.768 101.930 101.347 100.941
2004 100.658 100.460 100.322 100.225
2005 100.158 100.110 100.077 100.054
2006 100.038 100.026 100.019 100.013
2007 100.009 100.006 100.004 100.003
2008 100.002 100.002 100.001 100.001
2009 100.001 100.000 100.000 100.000
2010 100.000 100.000 100.000 100.000
2011 100.000 100.000 100.000 100.000
2012 100.000 100.000 100.000 100.000
2013 100.000 100.000 100.000 100.000
2014 100.000 100.000 100.000 100.000
2015 135.352 135.352 135.352 135.352
2016 135.352 135.352 135.352 135.352
2017 135.352 135.352 135.352 135.352
2018 135.352 135.352 135.352 135.352
2019 135.352 135.352 135.352 135.352
2020 135.352 135.352 135.352 135.352

ELAPSED TIME IS 0.0100 "

 INDUSTRIA

TIME SERIES REGRESSION MODELS WITH ARIMA ERRORS, MISSING VALUES AND OUTLIERS.
BETA VERSION (*)

BY

VICTOR GOMEZ & AGUSTIN MARAVALL

with the programming assistance of G. CAPORELLO

(*) Copyright : V. GOMEZ, A. MARAVALL (1994,1996)

SERIES TITLE=industri

SINCE LONGER FORECAST FUNCTION IS REQUIRED

BY SEATS, NPRED CHANGED TO ( 8)

ORIGINAL SERIES

NUMBER OF OBSERVATIONS: 84

X 10.0D2

YEAR 1ST 2ND 3RD 4TH

2000 227.909 242.849 240.902 255.557
2001 268.692 276.897 264.670 277.879
2002 289.085 309.182 297.348 310.431
2003 309.516 327.379 313.499 339.475
2004 337.778 352.757 331.094 352.664
2005 365.174 380.740 364.315 384.998
2006 397.328 414.293 396.160 418.000
2007 433.622 443.638 428.944 444.455
2008 426.387 431.886 414.801 400.276
2009 387.455 392.153 373.897 369.853
2010 378.660 380.120 376.111 388.347
2011 380.002 396.446 383.839 392.642
2012 396.340 399.626 389.172 397.781
2013 395.404 410.292 412.471 421.404
2014 428.181 455.113 446.953 458.828
2015 591.833 598.372 608.652 647.697
2016 601.587 599.567 618.379 683.805
2017 653.313 645.026 692.862 763.079
2018 729.289 735.196 782.087 820.046
2019 792.305 800.741 846.096 901.271
2020 905.016 812.235 928.672 915.938

MODEL PARAMETERS
----------------
MQ= 4 IMEAN= 1 LAM= -1 D= 1 BD= 1
P= 0 BP= 0 Q= 1 BQ= 1 IREG= 0
ITRAD= 0 IEAST= 0 IDUR= 6 M= 36 IQM= 16
INCON= 0 NBACK= 0 NPRED= 8 INTERP= 2 INIT= 0
IFILT= 2 IDENSC= 1 IROOT= 2 INIC= 3 ICONCE= 1
ICDET= 1 IATIP= 1 IMVX= 0 IDIF= 3 PG= 0
AIO= 2 INT1= 1 INT2= 84 RSA= 3 SEATS= 2
VA= 3.09 TOL= 0.100E-03 PC= 0.120E+00
NOADMISS= 1 BIAS= 1 SMTR= 0
THTR= -0.400 RMOD= 0.500 MAXBIAS= 0.500
TH = -0.10

BTH = -0.10

NUMBER OF INITIAL OBS. = 5

MEAN IS NOT SIGNIFICANT:

IMEAN CHANGED TO 0

Log-Level pretest : LOGS are Selected

TRANSFORMED SERIES (LOGARITHMS OF THE DATA)

YEAR 1ST 2ND 3RD 4TH

2000 10.034 10.098 10.090 10.149
2001 10.199 10.229 10.184 10.232
2002 10.272 10.339 10.300 10.343
2003 10.340 10.396 10.353 10.433
2004 10.428 10.471 10.408 10.471
2005 10.506 10.547 10.503 10.558
2006 10.590 10.632 10.587 10.641
2007 10.677 10.700 10.666 10.702
2008 10.661 10.673 10.633 10.597
2009 10.565 10.577 10.529 10.518
2010 10.542 10.546 10.535 10.567
2011 10.545 10.588 10.555 10.578
2012 10.587 10.596 10.569 10.591
2013 10.585 10.622 10.627 10.649
2014 10.665 10.726 10.708 10.734
2015 10.988 10.999 11.016 11.079
2016 11.005 11.001 11.032 11.133
2017 11.087 11.074 11.146 11.243
2018 11.197 11.205 11.267 11.315
2019 11.280 11.291 11.346 11.409
2020 11.413 11.305 11.439 11.425

AUTOMATIC MODEL IDENTIFICATION BEGINS

MODEL FINALLY CHOSEN:

(0,1,0)(1,0,0)

WITHOUT MEAN

WITHOUT TRADING DAY CORRECTION

WITHOUT EASTER CORRECTION

OUTLIERS

61 LS ( 1 2015)
82 AO ( 2 2020)

METHOD OF ESTIMATION: EXACT MAXIMUM LIKELIHOOD

 PARAMETER ESTIMATE STD ERROR T RATIO LAG

AR2 1 -.75963 0.71386E-01 -10.64 4

SEASONAL AR INVERSE ROOTS ARE

NO. REAL P. IMAG.P. MODULUS ARGUMENT PERIOD
1 0.75963 0.0000 0.75963 0.0000 0.84880-313

CORRELATIONS OF THE ESTIMATES

1.0000

AIC
-355.9298

BIC
-7.0802

FINAL VALUE OF OBJECTIVE FUNCTION:

0.62061E-01

ITERATIONS: 2

NUMBER OF FUNCTION EVALUATIONS: 5

ESTIMATES OF REGRESSION PARAMETERS

CONCENTRATED OUT OF THE LIKELIHOOD

PARAMETER VALUE ST. ERROR T VALUE

OUT 1 ( 61) 0.28244 ( 0.02172) 13.00 LS ( 1 2015)
OUT 2 ( 82) -.10416 ( 0.01929) -5.40 AO ( 2 2020)

COVARIANCE MATRIX OF ESTIMATORS

0.472E-03 0.000E+00
0.000E+00 0.372E-03

NUMBER OF WHITE NOISE RESIDUALS 81

WHITE NOISE RESIDUALS

0.0384 0.0326 -0.0182 -0.0390 0.0038 0.0015 0.0444

-0.0047
0.0061 -0.0330 0.0051 -0.0137 0.0469 -0.0028 0.0008
-0.0305
0.0026 0.0387 0.0088 0.0040 0.0073 0.0050 0.0101
-0.0113
0.0117 0.0127 -0.0089 0.0003 -0.0052 -0.0694 -0.0045
-0.0148
-0.0626 -0.0010 0.0023 -0.0170 0.0162 0.0483 -0.0053
0.0256
0.0403 -0.0396 0.0394 -0.0243 -0.0016 0.0259 -0.0239
-0.0020
0.0047 -0.0131 0.0307 0.0254 0.0048 0.0205 0.0329
-0.0221
0.0099 -0.0729 -0.0353 0.0308 0.0423 -0.0277 -0.0117
0.0180
0.0533 0.0105 -0.0102 0.0481 0.0201 -0.0106 0.0178
0.0075
-0.0259 0.0000 0.0045 0.0081 0.0272 0.0303 -0.0083
-0.0157
-0.0618
 TEST-STATISTICS ON RESIDUALS
----------------------------

MEAN= 0.0021877
ST.DEV.= 0.0030026
OF MEAN
T-VALUE= 0.7286

NORMALITY TEST= 3.624 ( CHI-SQUARED(2) )

SKEWNESS= -0.4866 ( SE = 0.2722 )

KURTOSIS= 3.3555 ( SE = 0.5443 )

SUM OF SQUARES= 0.5954012E-01

DURBIN-WATSON= 1.8141

STANDARD ERROR= 0.2728097E-01

OF RESID.
MSE OF RESID.= 0.7442514E-03

AUTOCORRELATIONS
----------------
0.0485 -0.0778 0.0344 -0.0784 -0.0265 0.1022 -0.2074 -0.0313 -0.0355
-0.1660 0.0757 0.0618
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
Q 0.20 0.71 0.81 1.35 1.41 2.35 6.26 6.35 6.46
9.08 9.63 10.00
PV -1.00 0.40 0.67 0.72 0.84 0.80 0.40 0.50 0.60
0.43 0.47 0.53
-0.1085 0.1958 -0.0665 -0.0408 0.1156 -0.0679 -0.1051 0.0012 -0.1603
0.0029 0.1669 -0.0648
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
Q 11.16 15.01 15.46 15.63 17.03 17.53 18.72 18.72 21.60
21.60 24.83 25.33
PV 0.52 0.31 0.35 0.41 0.38 0.42 0.41 0.47 0.36
0.42 0.31 0.33
0.1295 0.0829 -0.0005 0.0786 -0.0303 -0.0022 -0.0284 -0.0527 -0.0160
0.0410 -0.1847 -0.0191
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
Q 27.34 28.19 28.19 28.97 29.09 29.09 29.20 29.58 29.61
29.86 34.84 34.89
PV 0.29 0.30 0.35 0.36 0.41 0.46 0.51 0.54 0.59
0.62 0.43 0.47

LJUNG-BOX Q VALUE OF ORDER 16 IS 15.63 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(15)

PARTIAL AUTOCORRELATIONS
---------------------
0.0485 -0.0803 0.0427 -0.0898 -0.0109 0.0904 -0.2211 0.0096 -0.0856
-0.1428 0.0693 -0.0013
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
-0.0677 0.1657 -0.1291 0.0312 0.0204 -0.0780 -0.0544 -0.1032 -0.0738
-0.0058 0.1068 -0.0122
 SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
0.1258 0.0137 0.0900 -0.0387 -0.0623 0.0872 -0.1605 0.0706 0.0468
0.0062 -0.1020 0.0177
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111

APPROXIMATE TEST OF RUNS ON RESIDUALS

-------------------------------------
NUM.DATA= 81
NUM.(+)= 41
NUM.(-)= 40
NUM.RUNS= 40
T-VALUE= -0.2237

SQUARED RESIDUALS:
------------------

AUTOCORRELATIONS
----------------
-0.1071 -0.1403 0.3323 -0.0780 -0.0484 -0.0672 -0.0219 0.0036 -0.0816
-0.0073 -0.0876 -0.0236
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
Q 0.96 2.64 12.16 12.69 12.90 13.30 13.34 13.35 13.97
13.97 14.71 14.76
PV -1.00 0.10 0.00 0.01 0.01 0.02 0.04 0.06 0.08
0.12 0.14 0.19
-0.0043 -0.0634 -0.0912 -0.0239 0.0911 -0.1057 -0.1190 0.1566 -0.1046
-0.0242 0.1934 -0.1327
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
Q 14.77 15.17 16.02 16.08 16.95 18.14 19.68 22.38 23.60
23.67 28.01 30.08
PV 0.25 0.30 0.31 0.38 0.39 0.38 0.35 0.27 0.26
0.31 0.18 0.15
0.1657 0.0845 -0.0603 0.2133 0.0291 -0.0347 0.0102 0.0005 -0.1430
-0.0803 0.1124 -0.1050
SE 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111 0.1111
0.1111 0.1111 0.1111
Q 33.38 34.25 34.70 40.47 40.58 40.74 40.76 40.76 43.62
44.54 46.39 48.04
PV 0.10 0.10 0.12 0.05 0.06 0.07 0.09 0.11 0.08
0.09 0.08 0.07

LJUNG-BOX Q VALUE OF ORDER 16 IS 16.08 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(15)

FORECASTS:

ORIGIN: 84 NUMBER: 8

OBS FORECAST STD ERROR ACTUAL RESIDUAL

FORECAST STD ERROR
(TR. SERIES) (
ORIGINAL SERIES)
85 11.4283 0.272810E-01
91882.8 2507.12
86 11.4252 0.412703E-01
91603.9 3782.13
 87 11.4479 0.472520E-01
93701.5 4430.06
88 11.4374 0.545619E-01
92723.9 5062.96
89 11.4398 0.726735E-01
92946.0 6763.64
90 11.4375 0.878053E-01
92731.6 8158.05
91 11.4547 0.994500E-01
94340.3 9405.38
92 11.4467 0.110430
93591.6 10366.9

LINEAR SERIES

X 10.0D2

YEAR 1ST 2ND 3RD 4TH

2000 227.909 242.849 240.902 255.557
2001 268.692 276.897 264.670 277.879
2002 289.085 309.182 297.348 310.431
2003 309.516 327.379 313.499 339.475
2004 337.778 352.757 331.094 352.664
2005 365.174 380.740 364.315 384.998
2006 397.328 414.293 396.160 418.000
2007 433.622 443.638 428.944 444.455
2008 426.387 431.886 414.801 400.276
2009 387.455 392.153 373.897 369.853
2010 378.660 380.120 376.111 388.347
2011 380.002 396.446 383.839 392.642
2012 396.340 399.626 389.172 397.781
2013 395.404 410.292 412.471 421.404
2014 428.181 455.113 446.953 458.828
2015 446.209 451.139 458.889 488.327
2016 453.563 452.040 466.223 515.551
2017 492.561 486.313 522.379 575.319
2018 549.843 554.296 589.650 618.269
2019 597.353 603.714 637.909 679.508
2020 682.331 679.606 700.167 690.566

TOTAL OUTLIER EFFECT FACTORS

YEAR 1ST 2ND 3RD 4TH

2000 100.000 100.000 100.000 100.000
2001 100.000 100.000 100.000 100.000
2002 100.000 100.000 100.000 100.000
2003 100.000 100.000 100.000 100.000
2004 100.000 100.000 100.000 100.000
2005 100.000 100.000 100.000 100.000
2006 100.000 100.000 100.000 100.000
2007 100.000 100.000 100.000 100.000
2008 100.000 100.000 100.000 100.000
2009 100.000 100.000 100.000 100.000
2010 100.000 100.000 100.000 100.000
2011 100.000 100.000 100.000 100.000
2012 100.000 100.000 100.000 100.000
2013 100.000 100.000 100.000 100.000
2014 100.000 100.000 100.000 100.000
2015 132.636 132.636 132.636 132.636
2016 132.636 132.636 132.636 132.636
2017 132.636 132.636 132.636 132.636
2018 132.636 132.636 132.636 132.636
2019 132.636 132.636 132.636 132.636
2020 132.636 119.516 132.636 132.636

ELAPSED TIME IS 0.0100 "

 PIB

TIME SERIES REGRESSION MODELS WITH ARIMA ERRORS, MISSING VALUES AND OUTLIERS.
BETA VERSION (*)

BY

VICTOR GOMEZ & AGUSTIN MARAVALL

with the programming assistance of G. CAPORELLO

(*) Copyright : V. GOMEZ, A. MARAVALL (1994,1996)

SERIES TITLE=pibpreci

SINCE LONGER FORECAST FUNCTION IS REQUIRED

BY SEATS, NPRED CHANGED TO ( 8)

ORIGINAL SERIES

NUMBER OF OBSERVATIONS: 84

X 10.0D2

YEAR 1ST 2ND 3RD 4TH

2000 255.867 267.739 274.197 287.150
2001 298.120 304.884 303.211 314.677
2002 327.792 337.117 341.363 353.708
2003 351.226 360.953 356.181 387.408
2004 380.304 393.427 383.535 405.334
2005 411.273 427.485 421.154 443.155
2006 452.594 459.552 463.238 473.778
2007 496.146 494.278 481.127 499.144
2008 481.818 471.753 468.732 450.527
2009 433.668 430.697 421.668 409.164
2010 416.231 416.616 424.139 416.928
2011 423.158 433.654 434.556 426.866
2012 431.374 442.306 444.137 434.367
2013 429.856 443.404 465.495 454.101
2014 466.247 483.776 501.001 503.675
2015 641.240 642.610 663.660 687.760
2016 650.970 647.580 666.350 723.730
2017 710.590 724.550 750.570 790.430
2018 805.030 815.330 820.240 829.740
2019 926.560 893.250 881.740 856.940
2020 939.180 884.430 977.310 951.800

MODEL PARAMETERS
----------------
MQ= 4 IMEAN= 1 LAM= -1 D= 1 BD= 1
P= 0 BP= 0 Q= 1 BQ= 1 IREG= 0
ITRAD= 0 IEAST= 0 IDUR= 6 M= 36 IQM= 16
INCON= 0 NBACK= 0 NPRED= 8 INTERP= 2 INIT= 0
IFILT= 2 IDENSC= 1 IROOT= 2 INIC= 3 ICONCE= 1
ICDET= 1 IATIP= 1 IMVX= 0 IDIF= 3 PG= 0
AIO= 2 INT1= 1 INT2= 84 RSA= 3 SEATS= 2
VA= 3.09 TOL= 0.100E-03 PC= 0.120E+00
NOADMISS= 1 BIAS= 1 SMTR= 0
THTR= -0.400 RMOD= 0.500 MAXBIAS= 0.500
TH = -0.10

BTH = -0.10

NUMBER OF INITIAL OBS. = 5

MEAN IS NOT SIGNIFICANT:

IMEAN CHANGED TO 0

Log-Level pretest : LOGS are Selected

TRANSFORMED SERIES (LOGARITHMS OF THE DATA)

YEAR 1ST 2ND 3RD 4TH

2000 10.150 10.195 10.219 10.265
2001 10.303 10.325 10.320 10.357
2002 10.398 10.426 10.438 10.474
2003 10.467 10.494 10.481 10.565
2004 10.546 10.580 10.555 10.610
2005 10.624 10.663 10.648 10.699
2006 10.720 10.735 10.743 10.766
2007 10.812 10.808 10.781 10.818
2008 10.783 10.762 10.755 10.716
2009 10.677 10.671 10.649 10.619
2010 10.636 10.637 10.655 10.638
2011 10.653 10.677 10.679 10.662
2012 10.672 10.697 10.701 10.679
2013 10.669 10.700 10.748 10.723
2014 10.750 10.787 10.822 10.827
2015 11.069 11.071 11.103 11.139
2016 11.084 11.078 11.107 11.190
2017 11.171 11.191 11.226 11.278
2018 11.296 11.309 11.315 11.326
2019 11.437 11.400 11.387 11.359
2020 11.450 11.390 11.490 11.464

AUTOMATIC MODEL IDENTIFICATION BEGINS

MODEL FINALLY CHOSEN:

(0,1,1)(0,1,0)

WITHOUT MEAN

WITHOUT TRADING DAY CORRECTION

WITHOUT EASTER CORRECTION

OUTLIERS

61 LS ( 1 2015)
83 LS ( 3 2020)

METHOD OF ESTIMATION: EXACT MAXIMUM LIKELIHOOD

 PARAMETER ESTIMATE STD ERROR T RATIO LAG

MA1 1 -.10780 0.11185 -0.96 1

REGULAR MA INVERSE ROOTS ARE

NO. REAL P. IMAG.P. MODULUS ARGUMENT PERIOD
1 0.10780 0.0000 0.10780 0.0000 0.16976-312

CORRELATIONS OF THE ESTIMATES

1.0000

AIC
-330.1647

BIC
-6.9273

FINAL VALUE OF OBJECTIVE FUNCTION:

0.65633E-01

ITERATIONS: 4

NUMBER OF FUNCTION EVALUATIONS: 3

ESTIMATES OF REGRESSION PARAMETERS

CONCENTRATED OUT OF THE LIKELIHOOD

PARAMETER VALUE ST. ERROR T VALUE

OUT 1 ( 61) 0.25423 ( 0.02066) 12.31 LS ( 1 2015)
OUT 2 ( 83) 0.11025 ( 0.02922) 3.77 LS ( 3 2020)

COVARIANCE MATRIX OF ESTIMATORS

0.427E-03 0.165E-20
0.165E-20 0.854E-03

NUMBER OF WHITE NOISE RESIDUALS 77

WHITE NOISE RESIDUALS

-0.0125 0.0020 0.0058 0.0186 0.0004 -0.0478 -0.0059

-0.0265
0.0457 -0.0065 0.0059 -0.0115 -0.0300 0.0298 0.0080
0.0114
-0.0031 0.0062 -0.0227 0.0205 -0.0262 0.0222 -0.0166
-0.0367
0.0103 -0.0803 -0.0260 0.0177 -0.0745 -0.0108 0.0131
-0.0134
0.0081 0.0561 0.0139 0.0406 0.0173 -0.0004 0.0235
-0.0133
-0.0021 -0.0046 0.0000 0.0021 -0.0042 -0.0214 0.0037
0.0449
0.0023 0.0371 0.0099 -0.0126 0.0287 -0.0200 -0.0369
-0.0067
0.0296 -0.0550 -0.0133 -0.0051 0.0464 0.0417 0.0292
0.0099
-0.0298 0.0334 -0.0031 -0.0296 -0.0434 0.0874 -0.0399
-0.0233
-0.0426 -0.0233 -0.0260 0.0314 0.0055

TEST-STATISTICS ON RESIDUALS
 ----------------------------

MEAN= -0.0011393
ST.DEV.= 0.0033244
OF MEAN
T-VALUE= -0.3427

NORMALITY TEST= 1.135 ( CHI-SQUARED(2) )

SKEWNESS= 0.0096 ( SE = 0.2791 )

KURTOSIS= 3.5945 ( SE = 0.5583 )

SUM OF SQUARES= 0.6562318E-01

DURBIN-WATSON= 2.0816

STANDARD ERROR= 0.2938474E-01

OF RESID.
MSE OF RESID.= 0.8634629E-03

AUTOCORRELATIONS
----------------
-0.0422 0.0559 0.0929 -0.0366 -0.0665 0.0578 -0.1690 -0.1727 0.0011
-0.1920 -0.0073 -0.1802
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 0.14 0.40 1.11 1.22 1.59 1.88 4.36 6.99 6.99
10.33 10.34 13.38
PV -1.00 0.53 0.58 0.75 0.81 0.87 0.63 0.43 0.54
0.32 0.41 0.27
0.1784 0.1821 -0.0706 0.0814 0.0706 -0.0469 0.0269 0.0419 -0.1633
-0.0477 0.0332 -0.2198
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 16.41 19.61 20.09 20.76 21.26 21.49 21.56 21.75 24.65
24.90 25.02 30.57
PV 0.17 0.11 0.13 0.14 0.17 0.21 0.25 0.30 0.22
0.25 0.30 0.13
0.0465 0.0533 0.0232 0.0868 0.0852 -0.0126 -0.0023 0.0147 -0.0359
0.0049 -0.1024 -0.0121
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 30.82 31.16 31.23 32.16 33.08 33.10 33.10 33.13 33.31
33.31 34.83 34.85
PV 0.16 0.18 0.22 0.23 0.23 0.27 0.32 0.36 0.40
0.45 0.43 0.48

LJUNG-BOX Q VALUE OF ORDER 16 IS 20.76 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(15)

PARTIAL AUTOCORRELATIONS
---------------------
-0.0422 0.0542 0.0979 -0.0320 -0.0816 0.0475 -0.1521 -0.1876 -0.0118
-0.1554 -0.0018 -0.2189
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
0.2012 0.2298 -0.1437 0.0079 -0.0049 -0.0419 -0.0828 -0.0545 0.0078
-0.1227 0.0717 -0.1548
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
 0.1105 0.1123 -0.0853 0.1102 0.0178 -0.0408 -0.1252 -0.0795 0.0320
-0.0856 0.0178 -0.0327
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140

APPROXIMATE TEST OF RUNS ON RESIDUALS

-------------------------------------
NUM.DATA= 77
NUM.(+)= 39
NUM.(-)= 38
NUM.RUNS= 38
T-VALUE= -0.2295

SQUARED RESIDUALS:
------------------

AUTOCORRELATIONS
----------------
0.0012 -0.0039 0.2112 -0.0783 0.1000 -0.1467 -0.0185 0.1328 -0.0585
0.0129 -0.1074 0.0611
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 0.00 0.00 3.67 4.18 5.03 6.87 6.90 8.45 8.76
8.78 9.84 10.19
PV -1.00 0.97 0.16 0.24 0.28 0.23 0.33 0.29 0.36
0.46 0.45 0.51
-0.0181 -0.0890 -0.0273 -0.0964 -0.0460 -0.1056 -0.0970 0.0835 -0.0383
0.0379 -0.0572 -0.0256
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 10.22 10.98 11.06 11.98 12.20 13.35 14.33 15.08 15.24
15.40 15.76 15.84
PV 0.60 0.61 0.68 0.68 0.73 0.71 0.71 0.72 0.76
0.80 0.83 0.86
-0.0871 -0.0636 -0.0604 -0.0232 0.0515 -0.0767 -0.0473 0.0898 -0.0390
0.0401 0.0267 0.1475
SE 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140 0.1140
0.1140 0.1140 0.1140
Q 16.73 17.21 17.65 17.72 18.05 18.82 19.11 20.20 20.41
20.64 20.74 23.97
PV 0.86 0.87 0.89 0.91 0.92 0.93 0.94 0.93 0.94
0.95 0.96 0.92

LJUNG-BOX Q VALUE OF ORDER 16 IS 11.98 AND IF RESIDUALS ARE RANDOM IT SHOULD BE

DISTRIBUTED AS CHI-SQUARED(15)

FORECASTS:

ORIGIN: 84 NUMBER: 8

OBS FORECAST STD ERROR ACTUAL RESIDUAL

FORECAST STD ERROR
(TR. SERIES) (
ORIGINAL SERIES)
85 11.5549 0.293867E-01
104291. 3065.44
86 11.4949 0.393816E-01
98211.5 3869.22
87 11.4845 0.554251E-01
97196.2 5391.25
 88 11.4580 0.613129E-01
94659.2 5809.28
89 11.5495 0.826518E-01
103721. 8587.35
90 11.4894 0.978807E-01
97674.1 9583.36
91 11.4790 0.121864
96664.4 11823.8
92 11.4526 0.132666
94141.2 12544.5

LINEAR SERIES

X 10.0D2

YEAR 1ST 2ND 3RD 4TH

2000 255.867 267.739 274.197 287.150
2001 298.120 304.884 303.211 314.677
2002 327.792 337.117 341.363 353.708
2003 351.226 360.953 356.181 387.408
2004 380.304 393.427 383.535 405.334
2005 411.273 427.485 421.154 443.155
2006 452.594 459.552 463.238 473.778
2007 496.146 494.278 481.127 499.144
2008 481.818 471.753 468.732 450.527
2009 433.668 430.697 421.668 409.164
2010 416.231 416.616 424.139 416.928
2011 423.158 433.654 434.556 426.866
2012 431.374 442.306 444.137 434.367
2013 429.856 443.404 465.495 454.101
2014 466.247 483.776 501.001 503.675
2015 497.291 498.353 514.678 533.368
2016 504.837 502.208 516.764 561.263
2017 551.073 561.899 582.078 612.990
2018 624.313 632.300 636.108 643.475
2019 718.561 692.728 683.802 664.569
2020 728.348 685.888 678.798 661.079

TOTAL OUTLIER EFFECT FACTORS

YEAR 1ST 2ND 3RD 4TH

2000 100.000 100.000 100.000 100.000
2001 100.000 100.000 100.000 100.000
2002 100.000 100.000 100.000 100.000
2003 100.000 100.000 100.000 100.000
2004 100.000 100.000 100.000 100.000
2005 100.000 100.000 100.000 100.000
2006 100.000 100.000 100.000 100.000
2007 100.000 100.000 100.000 100.000
2008 100.000 100.000 100.000 100.000
2009 100.000 100.000 100.000 100.000
2010 100.000 100.000 100.000 100.000
2011 100.000 100.000 100.000 100.000
2012 100.000 100.000 100.000 100.000
2013 100.000 100.000 100.000 100.000
2014 100.000 100.000 100.000 100.000
2015 128.947 128.947 128.947 128.947
2016 128.947 128.947 128.947 128.947
2017 128.947 128.947 128.947 128.947
2018 128.947 128.947 128.947 128.947
2019 128.947 128.947 128.947 128.947
2020 128.947 128.947 143.977 143.977
ELAPSED TIME IS 0.0000 "