The TIMESERIES Procedure

Seasonal decomposition/analysis can be performed on the working series by specifying the OUTDECOMP= option, the PRINT=DECOMP option, or one of the PLOTS= options associated with decomposition in the PROC TIMESERIES statement. The DECOMP statement enables you to specify options related to decomposition. The TIMESERIES procedure uses classical decomposition. More complex seasonal decomposition/adjustment analysis can be performed by using the X11 or the X12 procedure of SAS/ETS.

The DECOMP statement MODE= option determines the mode of the seasonal adjustment decomposition to be performed. There are four modes: multiplicative (MODE=MULT), additive (MODE=ADD), pseudo-additive (MODE=PSEUDOADD), and log-additive (MODE=LOGADD) decomposition. The default is MODE=MULTORADD which specifies MODE=MULT for series that are strictly positive, MODE=PSEUDOADD for series that are nonnegative, and MODE=ADD for series that are not nonnegative.

When MODE=LOGADD is specified, the components are exponentiated to the original metric.

The DECOMP statement LAMBDA= option specifies the Hodrick-Prescott filter parameter (Hodrick and Prescott 1980). The default is LAMBDA=1600. The Hodrick-Prescott filter is used to decompose the trend-cycle component into the trend component and cycle component in an additive fashion. A smaller parameter assigns less significance to the cycle; that is, LAMBDA=0 implies no cycle component.

The notation and keywords associated with seasonal decomposition/adjustment analysis are defined in Table 32.3.

The trend-cycle component is computed from the -period centered moving average as follows:

The seasonal component is obtained by averaging the seasonal-irregular component for each season.

where and . The seasonal components are normalized to sum to one (multiplicative) or zero (additive).