Modeling Stock Trading Day Effects
Under Flow Day-of-Week Constraints
David F. Findley
KEY WORDS: Time series; Trading day adjustment; One-coefficient stock trading day model
ABSTRACT
From an invertible linear relation between stock and flow trading day regression coefficients that is derived, it is shown how flow day-of-week effect constraints can be imposed upon the day-of-week effect component of the stock trading day model of Bell (1984) used in X-12-ARIMA. We illustrate the use of the general formulas obtained by deriving the one-coefficient stock regression model determined by the constraints that give rise to the one-coefficient weekday-weekend-contrast flow trading day model of TRAMO and X-12-ARIMA.
CITATION:
Source: U.S. Census Bureau, Statistical Research Division
Created: September 19, 2006
Last revised: September 19, 2006
This symbol indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.
Source: U.S. Census Bureau | Statistical Research Division | (301) 763-3215 (or chad.eric.russell@census.gov) |
Last Revised:
October 08, 2010