The X12 procedure, an adaptation of the U.S. Bureau of the Census X-12-ARIMA Seasonal Adjustment program, seasonally adjusts monthly or quarterly time series. The procedure makes additive or multiplicative adjustments and creates an output data set containing the adjusted time series and intermediate calculations.
The X-12-ARIMA program combines the capabilities of the X-11 program and the X-11-ARIMA/88 program (Dagum 1988) and also introduces some new features. One of the main enhancements involves the use of a regARIMA model, a regression model with ARIMA (autoregressive integrated moving average) errors. Thus, the X-12-ARIMA program contains methods developed by both the U.S. Census Bureau and Statistics Canada. In addition, the X-12-ARIMA automatic modeling routine is based on the TRAMO (Time series Regression with ARIMA noise, Missing values, and Outliers) method.
There are four main components of the X-12-ARIMA program:
regARIMA modeling
model diagnostics
seasonal adjustment using enhanced X-11 methodology
post-adjustment diagnostics
Statistics Canada's X-11 method fits an ARIMA model to the original series, then uses the model forecast to extend the original series. This extended series is then seasonally adjusted by the standard X-11 seasonal adjustment method. The extension of the series improves the estimation of the seasonal factors and reduces revisions to the seasonally adjusted series as new data become available.
For further details, see the SAS/ETS^{®} User's Guide