X12 Procedure

Many new features have been added to the X12 procedure.

• The CHECK statement produces statistics for diagnostic checking of residuals from the estimated regARIMA model. The following new tables are associated with the CHECK statement: "Autocorrelation of regARIMA Model Residuals," "Partial Autocorrelation of regARIMA Model Residuals," "Autocorrelation of Squared regARIMA Model Residuals," "Summary Statistics for the Unstandardized Residuals," "Normality Statistics for regARIMA Model Residuals," and "Table G Rs: 10*LOG(SPECTRUM) of the regARIMA Model Residuals." If ODS GRAPHICS ON is specified, the following new plots are associated with diagnostic checking output: the autocorrelation function (ErrorACF) plot of the residuals, the partial autocorrelation function (ErrorPACF) plot of the residuals, the autocorrelation function (SqErrorACF) plot of the squared residuals, a histogram (ResidualHistogram) of the residuals, and a spectral plot (SpectralPlot) of the residuals.

• The MAXLAG option of the IDENTIFY statement specifies the maximum number of lags for the sample ACF and PACF that are associated with model identification.

• The following tables are now available through the OUTPUT statement: E1, E2, E3, and E8.

• The SIGMALIM option of the X11 statement enables you to specify the upper and lower sigma limits that are used to identify and decrease the weight of extreme irregular values in the internal seasonal adjustment computations.

• The TYPE option of the X11 statement controls which factors are removed from the original series to produce the seasonally adjusted series (table D11) and also the final trend cycle (table D12).

• The OUTSTAT= option of the X12 statement specifies the optional output data set that contains the summary statistics related to each seasonally adjusted series. The data set is sorted by the BY-group variables, if any, and by series names.

• The PERIODOGRAM option of the X12 statement enables you to specify that the PERIODOGRAM rather than the SPECTRUM of the series be plotted in the G tables and plots.

• The PLOTS= option of the X12 statement controls the plots that are produced through ODS Graphics.

• The SPECTRUMSERIES option of the X12 statement specifies the table name of the series that is used in the spectrum of the original series (table G0). The table names that can be specified are A1, A19, B1, or E1. The default is B1.

• The following tables are now available through the TABLES statement: E1, E2, and E3.

• The following tables are now available through ODS: "Model Description for ARIMA Model Identification", "Model Description for ARIMA Model Estimation", "Final Seasonal Filter Selection via Global MSR", "Seasonal Filters by Period", and "Final Trend Cycle Statistics". The model description information was previously displayed in notes; an ODS table enables you to export the information to a data set. The seasonal filter and trend filter tables are new.

• Auxiliary variables have been added to ACF and PACF data sets that are available through ODS OUTPUT. The following variables have been added: _NAME_, Transform, Adjust, Regressors, Diff, and Sdiff. The purpose of the new variables is to help you identify the source of the data when multiple ACFs and PACFs are calculated.

The following new feature is experimental:

• The AUXDATA= option of the X12 specifies an auxiliary input data set that can contain user-defined variables specified in the INPUT statement, the USERVAR= option of the REGRESSION statment, or the USERDEFINED statement. The AUXDATA= option is useful when user-defined regressors are used for multiple time series data sets or multiple BY groups.