1. What is TRAMO/SEATS?
TRAMO/SEATS is a seasonal adjustment program developed by Agustin
Maravall and Victor Gomez at the Bank of Spain.
TRAMO (Time series Regression with ARIMA noise, Missing observations,
and Outliers) and SEATS (Signal Extraction in ARIMA Time Series) are
linked programs. TRAMO provides automatic ARIMA modeling, while SEATS
computes the components for seasonal adjustment. SEATS uses
filters derived from an ARIMA-type time series model that describes
the behavior of the series to tailor seasonal and trend filters to
the series.
ARIMA model-based signal extraction techniques are based
on work by Hillmer/Tiao and Burman.
3. How do I run TRAMO/SEATS?
The original TRAMO/SEATS was a DOS program, but there is a
Windows version (called TRAMO/SEATS for Windows, or TSW)
that works quite well. You choose a series, specify
a model, and hit Run. Perhaps the most complicated step is
getting the data into a format that TSW can read.
An example data file, one that comes with the TSW installation:
PROD OF MANUFAC METAL (ITALY)
74 1990 1 12
4.5991521
4.7211739
4.6950109
4.6041697
4.7140246
. . .
The first line is the name of the series.
The second line contains the number of points in the series (74 points
in the example series),
the starting year (1990 in the example),
the starting month (1 for January), and
the period or frequency of the data (in this case, 12 for monthly data).
Once the data is input, the next step is to specify a model.
One possible choice is to use the automatic modeling options available.
6. How does TRAMO/SEATS estimate trading day and moving holiday components?
TRAMO/SEATS estimates trading day and moving holiday components
as regression effects in regARIMA models.
(See question question 8 under Definitions and Concepts
for a brief description of regARIMA models.)
TRAMO adjusts the effects, if any, out of the series
before it sends the series to SEATS for the estimation of
the trend, irregular, and seasonal components.
7. How does TRAMO/SEATS handle extreme values?
If a point is a very large point outlier or a shift in the level of the series,
the effect is estimated as a regression effect in the regARIMA model and prior-adjusted
out of the series before the iterative procedures begin.
Outliers are adjusted out of the series when estimating the
seasonal component so that they don't affect the estimate of the seasonal component.
However, they are not adjusted out of the seasonally adjusted series.
Point outliers and extreme values are included
with the irregular component. Level shifts are included with the trend component.
Because the seasonally adjusted series is the trend and irregular components together,
all outliers and extreme values are included in the seasonally adjusted series.
8. How do I get more information? Is there training available?
TRAMO/SEATS information and documentation can be found at the
Bank of Spain website at the
TRAMO/SEATS Download page.
Professor Agustin Maravall teaches a limited number of courses each year.
Catherine has taught many courses over the past 8 years. A complete
list of the courses available from Catherine are found on the
Course List Page.
