The X12 Procedure

lists the types of prior adjustment factors, obtained from the EVENT, REGRESSION, and OUTLIER statements, that are to be removed from the final seasonally adjusted series. Additive outliers are removed by specifying FINAL=AO. Level change and ramp outliers are removed by specifying FINAL=LS. Temporary change outliers are removed by specifying FINAL=TC. User-defined regressors or events (USERTYPE=USER) are removed by specifying FINAL=USER. All the preceding are removed by specifying FINAL=ALL or by specifying all the options in parentheses, FINAL=(AO LS TC USER). If this option is not specified, the final seasonally adjusted series contains these effects.

specifies that the seasonally adjusted series be modified to: (a) force the yearly totals of the seasonally adjusted series and the original series to be the same (FORCE=TOTALS), (b) adjust the seasonally adjusted values for each calendar year so that the sum of the rounded seasonally adjusted series for any year equals the rounded annual total (FORCE=ROUND), or (c) first force the yearly totals, then round the adjusted series (FORCE=BOTH). When FORCE=TOTALS is specified, the differences between the annual totals is distributed over the seasonally adjusted values in a way that approximately preserves the month-to-month (or quarter-to-quarter) movements of the original series. For more details, see Huot (1975) and Cholette (1979). This forcing procedure is not recommended if the seasonal pattern is changing or if trading day adjustment is performed. Forcing the seasonally adjusted totals to be the same as the original series annual totals can degrade the quality of the seasonal adjustment, especially when the seasonal pattern is undergoing change. It is not natural if trading day adjustment is performed because the aggregate trading day effect over a year is variable and moderately different from zero.

determines the mode of the seasonal adjustment decomposition to be performed. The four option choices correspond to additive, multiplicative, log-additive, and pseudo-additive decomposition, respectively. If this option is omitted, the procedure performs multiplicative adjustments. Table 37.6 shows the values of the MODE= option and the corresponding models for the original (O) and the seasonally adjusted (SA) series.

determines whether forecasts are included in certain tables sent to the output data set. If OUTFORECAST is specified, then forecast values are included in the output data set for tables A6, A7, A8, A9, A10, B1, D10, D10B, D10D, D16, D16B, and D18. The default is not to include forecasts. The OUTFORECAST option can be specified in either the X11 statement or the FORECAST statement with identical results.

specifies which seasonal moving average (also called seasonal "filter") is used to estimate the seasonal factors. These seasonal moving averages are moving averages, meaning that an -term simple average is taken of a sequence of consecutive -term simple averages. X11DEFAULT is the method used by the U.S. Census Bureau’s X-11-ARIMA program. The default for PROC X12 is SEASONALMA=MSR, which is the methodology of Statistic Canada’s X-11-ARIMA/88 program.

Table 37.7 describes the seasonal filter options available for the entire series:

specifies the lower and upper sigma limits in standard deviation units which are used to identify and down-weight extreme irregular values in the internal seasonal adjustment computations. One or both limits can be specified. The lower limit must be greater than and not greater than the upper limit. If the lower sigma limit is not specified, then it defaults to a value of . The default upper sigma limit is . The comma must be used if the upper limit is specified.

Table 37.8 shows the effect of the SIGMALIM= option on the weights that are applied to the internal irregular values.

In Table 37.8, is the theoretical mean of the irregular component, and and are the respective estimates of the standard deviation of the irregular component before and after extreme values are removed. The estimates of the standard deviation and vary with respect to , and they are the same if no extreme values are removed. If they are different ( < ), then the first line in Table 37.8 is reevaluated with . In the special case where the lower limit equals the upper limit, the weight is for lower limit, and otherwise. For more information about how extreme irregular values are handled in the X11 computations, see Ladiray and Quenneville; 2001, pp. 53–68, 122–125.

specifies which Henderson moving average is used to estimate the final trend cycle. Any odd number greater than one and less than or equal to 101 can be specified (for example, TRENDMA=23). If the TRENDMA= option is not specified, the program selects a trend moving average based on statistical characteristics of the data. For monthly series, a 9-, 13-, or 23-term Henderson moving average is selected. For quarterly series, the program chooses either a 5- or a 7-term Henderson moving average.

specifies the method used to calculate the final seasonally adjusted series (Table D11). The default method is TYPE=SA. This method assumes that the original series has not been seasonally adjusted. For method TYPE=SUMMARY, the trend cycle, irregular, trading day, and holiday factors are calculated, but not removed from the seasonally adjusted series. Thus, for TYPE=SUMMARY, Table D11 is the same as the original series. For TYPE=TREND, trading day, holiday, and prior adjustment factors are removed from the original series to calculate the seasonally adjusted series (Table D11) and also are used in the calculation of the final trend (Table D12).