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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
- 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
