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    Home >> Support >> Documentation >> NumXL >> Reference Manual >> ARMA Analysis >> X-12-ARIMA >> X12ARIMA

    X12ARIMA

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

    Syntax

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

    X
    is the univariate time series data (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 (auto), 3=None ). If missing, auto is assumed.

    Type Desc
    1 Log
    2 Auto (auto)
    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.

    Type 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.

    Type 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.

    Type 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 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)).

    Type Desc
    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 ).

    Type Desc
    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).

    Type Desc
    1 Multiplicative default
    2 Additive
    3 Pseudo-additive
    4 log-additive

    Remarks

    1. The underlying model is described here.

    Files Examples

    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

    Related Links

    • Wikipedia - X-12-ARIMA
    • X-13ARIMA-SEATS Seasonal Adjustment Program
    ‹ X12APROPupAirLine model ›

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