El 10/06/16 a las 21:26, John C Frain escribió:
TRAMO stands for "Time series Regression with ARIMA noise, Missing values and Outliers". SEATS is "Signal Extraction in ARIMA Time Series". Used as a seasonal adjustment program TRAMO adjusts a series for missing values and outliers. It then passes the adjusted series to SEATS which completes the analysis using the adjusted series. I suspect that you are looking at the SEATS output which gives residuals relative to the output from TRAMO and not the original series. There is a lot of additional material on TRAMO-SEATS at the Bank of Spain web-site http://www.bde.es/bde/en/secciones/servicios/Profesionales/Programas_estadi/Programas_estad_d9fa7f3710fd821.html. You can also download various stand-alone versions of the program.
John C Frain
3 Aranleigh Park
Rathfarnham
Dublin 14
Ireland
www.tcd.ie/Economics/staff/frainj/home.html <http://www.tcd.ie/Economics/staff/frainj/home.html>
mailto:frainj@tcd.ie <mailto:frainj@tcd.ie>
mailto:frainj@gmail.com <mailto:frainj@gmail.com>
On 10 June 2016 at 17:50, Manuel Dario Hernandez Bejarano <mdhernandezb@unal.edu.co <mailto:mdhernandezb@unal.edu.co>> wrote:
Thanks for your answer, I would like to know your opinion when you
consider the option "skipping approach", due to the fact that the
Kalman filter doesn't assign a residual when you have a missing
value, however, in the results, TRAMO gives a value of residual
for the point where a missing observation is presented, and I
would like to know the reason.
Please, look at TRAMO's manual, they refer to Gomez and Maravall (1994), which you may find here:
http://www.bde.es/f/webbde/SES/servicio/software/tramo/epifornsseries.pdf
--
Ignacio Díaz-Emparanza
Departamento de Economía Aplicada III (Econometría y Estadística)
Universidad del País Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3
_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users