The TIMESERIES Procedure

DECOMP Statement

DECOMP components < / options > ;

A DECOMP statement can be used with the TIMESERIES procedure to specify options related to classical seasonal decomposition of the time series data. Only one DECOMP statement is allowed. The options specified affect all variables listed in the VAR statements. Decomposition can be performed only when the length of the seasonal cycle specified by the PROC TIMESERIES statement SEASONALITY= option or implied by the ID statement INTERVAL= option is greater than one.

The following seasonal decomposition components are available:

ORIG | ORIGINAL: original series
TCC | TRENDCYCLE: trend-cycle component
SIC | SEASONIRREGULAR: seasonal-irregular component
SC | SEASONAL: seasonal component
SCSTD: seasonal component standard errors
TCS | TRENDCYCLESEASON: trend-cycle-seasonal component
IC | IRREGULAR: irregular component
SA | ADJUSTED: seasonally adjusted series
PCSA: percent change seasonally adjusted series
TC: trend component
CC | CYCLE: cycle component

If none of the components are specified, the default is as follows:

   decomp orig tcc sc ic sa;

The following options can be specified in the DECOMP statement following the slash (/):

MODE= option

specifies the type of decomposition to be used to decompose the time series. The following values can be specified for the MODE= option:

ADD | ADDITIVE: additive decomposition
MULT | MULTIPLICATIVE: multiplicative decomposition
LOGADD | LOGADDITIVE: log-additive decomposition
PSEUDOADD | PSEUDOADDITIVE: pseudo-additive decomposition
MULTORADD: multiplicative or additive decomposition, depending on data

Multiplicative and log additive decomposition require strictly positive time series. If the accumulated time series contains nonpositive values and the MODE=MULT or MODE=LOGADD option is specified, an error results. Pseudo-additive decomposition requires a nonnegative-valued time series. If the accumulated time series contains negative values and the MODE=PSEUDOADD option is specified, an error results. The MODE=MULTORADD option specifies that multiplicative decomposition be used when the accumulated time series contains only positive values, that pseudo-additive decomposition be used when the accumulated time series contains only nonnegative values, and that additive decomposition be used otherwise. The default is MODE=MULTORADD.

LAMBDA= number

specifies the Hodrick-Prescott filter parameter for trend-cycle decomposition. The default is LAMBDA=1600. Filtering applies when the trend component or the cycle component is requested. If filtering is not specified, this option is ignored.

NPERIODS= number

specifies the number of time periods to be stored in the OUTDECOMP= data set when the TRANSPOSE=YES option is specified. If the TRANSPOSE=NO option is specified, the NPERIODS= option is ignored. If the NPERIODS= option is positive, the first or beginning time periods are recorded. If the NPERIODS= option is negative, the last or ending time periods are recorded. The NPERIODS= option specifies the number of OUTDECOMP= data set variables to contain the seasonal decomposition and is therefore limited to the maximum allowed number of SAS variables. If the number of time periods exceeds this limit, a warning is printed in the log and the number of periods stored is reduced to the limit.

If the NPERIODS= option is not specified, all of the periods specified between the ID statement START= and END= options are stored. If at least one of the START= or END= options is not specified, the default magnitude is the seasonality specified by the SEASONALITY= option in the PROC TIMESERIES statement or implied by the INTERVAL= option in the ID statement. If only the START= option or both the START= and END= options are specified and the seasonality is zero, the default is NPERIODS=5. If only the END= option or neither the START= nor END= option is specified and the seasonality is zero, the default is NPERIODS=–5.

TRANSPOSE= NO | YES

specifies which values are recorded as column names in the OUTDECOMP= data set. TRANSPOSE=YES specifies that the time periods be recorded as the column names instead of the statistics. The first and last time periods stored in the OUTDECOMP= data set correspond to the period of the ID statement START= option and END= option, respectively. If only the ID statement END= option is specified, the last time ID value of each accumulated time series corresponds to the last time period column. If only the ID statement START= option is specified, the first time ID value of each accumulated time series corresponds to the first time period column. If neither the START= option nor the END= option is specified with the ID statement, the first time ID value of each accumulated time series corresponds to the first time period column. The TRANSPOSE=NO option is useful for analyzing or displaying the decomposition results with SAS/GRAPH procedures. The TRANSPOSE=YES option is useful for analyzing the decomposition results with other SAS procedures or SAS Enterprise Miner software. The default is TRANSPOSE=NO.