X11
options ;
The X11 statement is an optional statement for invoking seasonal adjustment by an enhanced version of the methodology of the U.S. Census Bureau X-11 and X-11Q programs. You can control the type of seasonal adjustment decomposition calculated with the MODE= option. The output includes the final tables and diagnostics for the X-11 seasonal adjustment method listed in Table 38.7. Tables E1, E2, E3, C20, D1, and D7 are not displayed by default; however, you can display these tables by requesting them in the TABLES statement.
Table 38.7: Tables Related to X11 Seasonal Adjustment
Table Name |
Description |
B1 |
Original series, adjusted for prior effects and forecast extended |
C17 |
Final weights for the irregular component |
C20 |
Final extreme value adjustment factors |
D1 |
Modified original data, D iteration |
D7 |
Preliminary trend cycle, D iteration |
D8 |
Final unmodified SI ratios (differences) |
D8A |
F tests for stable and moving seasonality, D8 |
D9 |
Final replacement values for extreme SI ratios (differences), D iteration |
D9A |
Moving seasonality ratios for each period |
SeasonalFilter |
Seasonal filter statistics for Table D10 |
D10 |
Final seasonal factors |
D10B |
Seasonal factors, adjusted for user-defined seasonal |
D10D |
Final seasonal difference |
D11 |
Final seasonally adjusted series |
D11A |
Final seasonally adjusted series with forced yearly totals |
D11R |
Rounded final seasonally adjusted series (with forced yearly totals) |
TrendFilter |
Trend filter statistics for Table D12 |
D12 |
Final trend cycle |
D13 |
Final irregular component |
D16 |
Combined seasonal and trading day factors |
D16B |
Final adjustment differences |
D18 |
Combined calendar adjustment factors |
E1 |
Original data modified for extremes |
E2 |
Modified seasonally adjusted series |
E3 |
Modified irregular series |
E4 |
Ratio of yearly totals of original and seasonally adjusted series |
E5 |
Percent changes (differences) in original series |
E6 |
Percent changes (differences) in seasonally adjusted series |
E6A |
Percent changes (differences) in seasonally adjusted series with forced yearly totals (D11.A) |
E6R |
Percent changes (differences) in rounded seasonally adjusted series (D11.R) |
E7 |
Percent changes (differences) in final trend component series |
E8 |
Percent changes (differences) in original series adjusted for calendar factors (A18) |
F2A–F2I |
X11 diagnostic summary |
F3 |
Monitoring and quality assessment statistics |
F4 |
Day of the week trading day component factors |
G |
Spectral plots |
For more details about the X-11 seasonal adjustment diagnostics, see Shiskin, Young, and Musgrave (1967), Lothian and Morry (1978a), and Ladiray and Quenneville (2001).
The following options can appear in the X11 statement: