X12ARIMA - Defining an X12-ARIMA Model

Returns a unique string to designate the specified X12-ARIMA model.

Syntax

X12ARIMA(X, Date, Period, Transform, Cal_Reg, Outliers, ARIMA, Forecast, SA_Filter, X11Options, X11Mode)

X

is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).

Date

is a serial number that represents the data start date.

Period

is the sampling rate per year ( 12 = monthly, 4 = Quarterly)

Transform

is an option for transforming the data prior to analysis (1 = Log, 2 = Auto (default), 3 = None ). If missing, auto is assumed.

Value	Transform
1	Log.
2	Auto (default).
3	None.

Cal_Reg

is a set of options for calendar adjustments using regression ({TD = 0/1, Easter = 0/1, Constant = 0/1}). See the reference manual for more details and examples.

Value	Cal_Reg Examples
{0,0,0}	TD = 0, Easter = 0, Constant = 0 (default).
{1,0,0}	TD = 1, Easter = 0, Constant = 0.
{1,1,1}	TD = 1, Easter = 1, Constant = 1.
{1,1,1}	TD = 1, Easter = 1, Constant = 1.

Outliers

is a set of outlier types to test and adjust for {AO = 0/1, LS(Run) = 0/1..N, TC=0/1, SO = 0/1, Hard-code = 0/1}. If missing, no check for outliers is carried out.

Value	Outliers Examples
{0,0,0,0}	AO = 0, LS = 0, TC = 0 (default).
{1,1,1,1}	AO = 1, LS = 1, TC = 1.
{1,4,0,0}	AO = 1, LS = 4, TC = 0.

ARIMA

is the set of orders for the ARIMA Model ({p,d,q,P,D,Q}). If any of the orders is negative or if all values are zeros, auto-select is turned on.

Value	ARIMA Examples
{0,0,0,0,0,0}	p = 0, d = 0, q = 0, P = 0, D = 0, Q = 0 (default Auto-select).
{-1,1,1,0,1,1}	p = 0, d = 0, q = 0, P = 0, D = 0, Q = 0 (Auto-select).
{0,1,1,0,1,1}	p = 0, d = 1, q = 1, P = 0, D = 1, Q = 1.

Forecast

is the number of years to conduct the forecast for. If missing, forecast = 1 year.

SA_Filter

is a flag for the seasonal adjustment filter to use (1 = X11, 2 = TD and Holidays, 3 = None (default)).

Value	SA_Filter
1	X11.
2	Trading days and holidays adjustment.
3	None (default).

X11Options

is an option setting for the X11 filter (1 = X11 (default), 2 = 3x1, 3 = 3x3, 4 = 3x5, 5 = 3x9, 6 = 3x15 , 7 = Stable ).

Value	X11Options
1	X11 (default).
2	3x1.
3	3x3.
4	3x5.
5	3x9.
6	3x15.
7	X11 Stable.

X11Mode

is the type of decomposition (i.e., additive or multiplicative) (1 = mult (default), 2 = additive, 3 = pseudo-add, 4 = log-add).

Value	X11Mode
1	Multiplicative (default).
2	Additive.
3	Pseudo-additive.
4	log-additive.

Remarks

1. The underlying X12-ARIMA model is described here.

Files Examples

Related Links

• Wikipedia - X-13ARIMA-SEATS.
• X-13ARIMA-SEATS Seasonal Adjustment Program.

References

• Hamilton, J.D.; Time Series Analysis, Princeton University Press (1994), ISBN 0-691-04289-6.
• Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740.