経済季節性と季節転換時系列モデル(国友直人・高岡慎「経済季節性と季節転換時系列モデル」, Vol.35-1, 1-26, 2005年, 日本統計学会誌(日本統計学会)に掲載。)



In the recent X-12-ARIMA program developed by the United States Census Bureau for seasonal adjustments, the RegARIMA modeling has been extensively utilized. We shall discuss some problems in the RegARIMA modeling when the time series are realizations of non-stationary integrated stochastic processes with fixed regressors. We propose to use the seasonal switching autoregressive moving average (SSARMA) model and the regression SSARMA (RegSSARMA) model to cope with seasonality commonly observed in many economic time series. We investigate the basic properties of the SSAR (seasonal switching autoregressive) models. We argue that the phenomenon called "spurious seasonal unit roots" could be an explanation for a good fit of the seasonal ARIMA models to actual data. Some results of economic data analyses are reported.