The X12 Procedure
- Overview
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Getting Started
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SyntaxFunctional SummaryPROC X12 StatementADJUST StatementARIMA StatementAUTOMDL StatementBY StatementCHECK StatementESTIMATE StatementEVENT StatementFORECAST StatementID StatementIDENTIFY StatementINPUT StatementOUTLIER StatementOUTPUT StatementPICKMDL StatementREGRESSION StatementSEATSDECOMP StatementTABLES StatementTRANSFORM StatementUSERDEFINED StatementVAR StatementX11 Statement
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DetailsData RequirementsMissing ValuesSAS Predefined EventsUser-Defined Regression VariablesCombined Test for the Presence of Identifiable SeasonalityComputationsPICKMDL Model SelectionSEATS DecompositionDisplayed Output, ODS Table Names, and OUTPUT Tablename KeywordsUsing Auxiliary Variables to Subset Output Data SetsODS GraphicsOUT= Data SetSEATSDECOMP OUT= Data SetSpecial Data Sets
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ExamplesARIMA Model IdentificationModel EstimationSeasonal AdjustmentRegARIMA Automatic Model SelectionAutomatic Outlier DetectionUser-Defined RegressorsMDLINFOIN= and MDLINFOOUT= Data SetsSetting Regression ParametersCreating an MDLINFO= Data Set for Use with the PICKMDL StatementIllustration of ODS GraphicsAUXDATA= Data Set
- References
TRANSFORM options ;
The TRANSFORM statement transforms or adjusts the series prior to estimating a regARIMA model. With this statement, the series can be Box-Cox (power) transformed. The “Prior Adjustment Factors” table is associated with the TRANSFORM statement.
Only one of the following options can appear in the TRANSFORM statement:
- POWER=value
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transforms the input series,
, by using a Box-Cox power transformation,
![\[ \mbox{$Y_ t \rightarrow y_ t$} = \left\{ \begin{array}{lc} \mbox{$log(Y_ t)$} & \mbox{$\lambda = 0$}\\ \mbox{$\lambda ^2 + (Y_ t^\lambda - 1)/\lambda $} & \mbox{$\lambda \neq 0$} \end{array} \right. \]](images/etsug_x120067.png)
The power
must be specified (for example, POWER=0.33). The default is no transformation (
); that is, POWER=1. The log transformation (POWER=0), square root transformation (POWER=0.5), and the inverse transformation
(POWER=–1) are equivalent to the corresponding FUNCTION= option.
Table 38.6: Power Values Related to the Census Bureau Function Argument
FUNCTION=
Transformation
Range for
Equivalent Power Argument
NONE
All values
POWER=1
LOG
for all 
POWER=0
SQRT
for all
POWER=0.5
INVERSE
for all
POWER=–1
LOGISTIC
for all
No equivalent
- FUNCTION=NONE | LOG | SQRT | INVERSE | LOGISTIC | AUTO
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specifies the transformation to be applied to the series prior to estimating a regARIMA model. The transformation used by FUNCTION=NONE, LOG, SQRT, INVERSE, or LOGISTIC is related to the POWER= option as shown in Table 38.6. FUNCTION=AUTO uses selection based on Akaike’s information criterion (AIC) to decide between a log transformation and no transformation. The default is FUNCTION=NONE.
However, the FUNCTION= and POWER= options are not completely equivalent. In some cases, using the FUNCTION= option causes the program to automatically select other options. For example, FUNCTION=NONE causes the default mode to be MODE=ADD in the X11 statement. Also, the choice of transformation invoked by the FUNCTION=AUTO option can impact the default mode of the X11 statement.
There are restrictions on the value used in the POWER= and FUNCTION= options when preadjustment factors for seasonal adjustment are generated from a regARIMA model. When seasonal adjustment is requested with the X11 statement, any value of the POWER option can be used for the purpose of forecasting the series with a regARIMA model. However, this is not the case when factors generated from the regression coefficients are used to adjust either the original series or the final seasonally adjusted series. In this case, the only accepted transformations are the log transformation, which can be specified as POWER=0 for multiplicative or log-additive seasonal adjustments, and no transformation, which can be specified as POWER=1 for additive seasonal adjustments. If no seasonal adjustment is performed, any POWER transformation can be used. The preceding restrictions also apply when FUNCTION=NONE and FUNCTION=LOG are specified.