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The X12 Procedure

Example 32.3 Seasonal Adjustment

Assuming that the model in Example 32.2 is satisfactory, a seasonal adjustment that uses forecast extension can be performed by adding the X11 statement to the procedure. By default, the data is forecast one year ahead at the end of the series. Table D8.A is shown in Output 32.3.1.

   ods output D8A#1=SalesD8A_1;
   ods output D8A#2=SalesD8A_2;
   ods output D8A#3=SalesD8A_3;
   ods output D8A#4=SalesD8A_4;
   proc x12 data=sales date=date;
      var sales;
      transform power=0;
      arima model=( (0,1,1)(0,1,1) );
      estimate;
      x11;
   run;
   title 'Stable Seasonality Test';
   proc print data=SalesD8A_1 LABEL;
   run;
   title 'Nonparametric Stable Seasonality Test';
   proc print data=SalesD8A_2 LABEL;
   run;
   title 'Moving Seasonality Test';
   proc print data=SalesD8A_3 LABEL;
   run;
   title 'Combined Seasonality Test';
   proc print data=SalesD8A_4 LABEL NOOBS;
      var _NAME_ Name1 Label1 cValue1;
   run;

Output 32.3.1 Table D8.A as Displayed
The X12 Procedure


Table D 8.A: F-tests for Seasonality
For variable sales

Test for the Presence of Seasonality Assuming Stability
  Sum of Squares DF Mean Square F-Value  
Between Months 23571.41 11 2142.855 190.9544 **
Residual 1481.28 132 11.22182    
Total 25052.69 143      

** Seasonality present at the 0.1 percent level.


Nonparametric Test for the
Presence of Seasonality Assuming
Stability
Kruskal-Wallis
Statistic
DF Probability
Level
131.9546 11 .00%

Seasonality present at the one percent level.


Moving Seasonality Test
  Sum of Squares DF Mean Square F-Value  
Between Years 259.2517 10 25.92517 3.370317 **
Error 846.1424 110 7.692204    

**Moving seasonality present at the one percent level.


Summary of Results and Combined Test for the Presence of Identifiable Seasonality
Seasonality Tests: Probability Level
   
Stable Seasonality F-test 0.000
Moving Seasonality F-test 0.001
Kruskal-Wallis Chi-square Test 0.000
   
Combined Measures: Value
   
T1 = 7/F_Stable 0.04
T2 = 3*F_Moving/F_Stable 0.05
T = (T1 + T2)/2 0.04
   
Combined Test of Identifiable Seasonality: Present

The four ODS statements in the preceding example direct output from the D8A tables into four data sets: SalesD8A_1, SalesD8A_2, SalesD8A_3, and SalesD8A_4. It is best to direct the output to four different data sets because the four tables associated with table D8A have varying formats. The ODS data sets are shown in Output 32.3.2, Output 32.3.3, Output 32.3.4, and Output 32.3.5.

Output 32.3.2 Table D8.A as Output in a Data Set by Using ODS
Stable Seasonality Test

Obs _NAME_ FT_SRC Sum of Squares DF Mean Square F-Value FT_AST
1 sales Between Months 23571.41 11 2142.855 190.9544 **
2 sales Residual 1481.28 132 11.22182 .  
3 sales Total 25052.69 143 . .  


Output 32.3.3 Table D8.A as Output in a Data Set by Using ODS
Nonparametric Stable Seasonality Test

Obs _NAME_ Kruskal-Wallis
Statistic
DF Probability
Level
1 sales 131.9546 11 .00%

Output 32.3.4 Table D8.A as Output in a Data Set by Using ODS
Moving Seasonality Test

Obs _NAME_ FT_SRC Sum of Squares DF Mean Square F-Value FT_AST
1 sales Between Years 259.2517 10 25.92517 3.370317 **
2 sales Error 846.1424 110 7.692204 .  

Output 32.3.5 Table D8.A as Output in a Data Set by Using ODS
Combined Seasonality Test

_NAME_ Name1 Label1 cValue1
sales   Seasonality Tests: Probability Level
sales      
sales P_STABLE Stable Seasonality F-test 0.000
sales P_MOV Moving Seasonality F-test 0.001
sales P_KW Kruskal-Wallis Chi-square Test 0.000
sales      
sales   Combined Measures: Value
sales      
sales T1 T1 = 7/F_Stable 0.04
sales T2 T2 = 3*F_Moving/F_Stable 0.05
sales T T = (T1 + T2)/2 0.04
sales      
sales IDSeasTest Combined Test of Identifiable Seasonality: Present

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