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Published by: wolvdan on Jul 22, 2009
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07/21/2009

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March 2004
A TOOL FOR QUALITY CONTROLOF TIME SERIES DATAProgram TERROR
Gianluca
Caporello
and Agustín
Maravall
 Bank of Spain
Thanks are due to the research and secretarial help of Jorge Carrillo and Nieves Morales.
 
 
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Abstract
A program is presented for error detection in incoming data for data bases of timeseries. It provides a sensible answer to the question: when new data is reported, which of thenew observations are likely to contain an error? The observation is suspicious if it is far fromwhat could have been expected from the past history of the variable.Without considering the new observation, and using a fully automatic procedure, aREGARIMA model is identified for the series, which may have missing observations and becontaminated by outliers. Calendar and, more generally, regression effects can also bepresent. The new observation is compared to the (out-of-sample) forecast obtained with themodel and, if the forecast error is clearly unreasonable, the series is considered suspiciousThe program, named TERROR, is a particular application of program TRAMO, freelyavailable at the Bank of Spain web site (www.bde.es). The program is reliable and efficient for very large scale applications.
Keywords:
Forecasting; ARIMA models; Outliers; Data Editing;Error Detection; Computer Software.
JEL numbers:
C22, C53, C80, C87.
 
 
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CONTENTS
1 INTRODUCTION2 THE METHODOLOGY3 PROGRAM TERROR: INPUT PARAMETERS3.1 Fixed Configuration3.2 Other Input Parameters from TRAMO3.3 Easter and Trading Day Effects3.4 New Input Parameters3.5 Summary of the Results for the Individual Series3.6 Summary Results for the Set of Series4 INPUT FILE5 MAIN OUTPUT FILE6 AN EXAMPLE7 REFERENCES

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