The X11 Procedure

performs additive adjustments. If the ADDITIVE option is omitted, PROC X11 performs multiplicative adjustments.

specifies the charts produced by the procedure. The default is CHARTS=STANDARD, which specifies 12 monthly seasonal charts and a trend cycle chart. If you specify CHARTS=FULL (or CHARTS=ALL), the procedure prints additional charts of irregular and seasonal factors. To print no charts, specify CHARTS=NONE.

The TABLES statement can also be used to specify particular monthly charts to be printed. If no CHARTS= option is given, and a TABLES statement is given, the TABLES statement overrides the default value of CHARTS=STANDARD; that is, no charts (or tables) are printed except those specified in the TABLES statement. However, if both the CHARTS= option and a TABLES statement are given, the charts corresponding to the CHARTS= option and those requested by the TABLES statement are printed.

For example, suppose you wanted only charts G1, the final seasonally adjusted series and trend cycle, and G4, the final irregular and final modified irregular series. You would specify the following statements:

   monthly date=date;
   tables g1 g4;

specifies a variable that gives the date for each observation. The starting and ending dates are obtained from the first and last values of the DATE= variable, which must contain SAS date values. The procedure checks values of the DATE= variable to ensure that the input observations are sequenced correctly. This variable is automatically added to the OUTPUT= data set if one is requested and extrapolated if necessary. If the DATE= option is not specified, the START= option must be specified.

The DATE= option and the START= and END= options can be used in combination to subset a series for processing. For example, suppose you have 12 years of monthly data (144 observations, no missing values) beginning in January 1970 and ending in December 1981, and you wanted to seasonally adjust only six years beginning in January 1974. Specifying

   monthly date=date start=jan1974 end=dec1979;

would seasonally adjust only this subset of the data. If instead you wanted to adjust the last eight years of data, only the START= option is needed:

   monthly date=date start=jan1974;

specifies that only the part of the input series ending with the month and year given be adjusted (for example, END=DEC1970). See the DATE=variable option for using the START= and END= options to subset a series for processing.

excludes from the trading-day regression any irregular values that are more than value standard deviations from the mean. The EXCLUDE=value must be between 0.1 and 9.9, with the default value being 2.5.

assigns weights to irregular values based on their distance from the mean in standard deviation units. The weights are used for estimating seasonal and trend cycle components. Irregular values less than the FULLWEIGHT= value (in standard deviation units) are assigned full weights of 1, values that fall between the ZEROWEIGHT= and FULLWEIGHT= limits are assigned weights linearly graduated between 0 and 1, and values greater than the ZEROWEIGHT= limit are assigned a weight of 0.

For example, if ZEROWEIGHT=2 and FULLWEIGHT=1, a value 1.3 standard deviations from the mean would be assigned a graduated weight. The FULLWEIGHT=value must be between 0.1 and 9.9 but must be less than the ZEROWEIGHT=value. The default is FULLWEIGHT=1.5.

includes length-of-month allowance in computing trading-day factors. If this option is omitted, length-of-month allowances are included with the seasonal factors.

specifies the number of decimal places shown in the printed tables in the listing. This option has no effect on the precision of the variable values in the output data set.

specifies a variable containing the prior monthly factors. Use this option if you have previous knowledge of monthly adjustment factors. The PMFACTOR= option can be used to make the following adjustments:

See the section Prior Daily Weights and Trading-Day Regression for details and examples using the PMFACTOR= option.

specifies the tables to be printed by the procedure. If the PRINTOUT=STANDARD option is specified, between 17 and 27 tables are printed, depending on the other options that are specified. PRINTOUT=LONG prints between 27 and 39 tables, and PRINTOUT=FULL prints between 44 and 59 tables. Specifying PRINTOUT=NONE results in no tables being printed; however, charts are still printed. The default is PRINTOUT=STANDARD.

The TABLES statement can also be used to specify particular monthly tables to be printed. If no PRINTOUT= option is specified, and a TABLES statement is given, the TABLES statement overrides the default value of PRINTOUT=STANDARD; that is, no tables (or charts) are printed except those given in the TABLES statement. However, if both the PRINTOUT= option and a TABLES statement are specified, the tables corresponding to the PRINTOUT= option and those requested by the TABLES statement are printed.

adjusts only the part of the input series starting with the specified month and year. When the DATE= option is not used, the START= option gives the year and month of the first input observation — for example, START=JAN1966. START= must be specified if DATE= is not given. If START= is specified (and no DATE= option is given), and an OUT= data set is requested, a variable named _DATE_ is added to the data set, giving the date value for each observation. See the DATE= variable option for using the START= and END= options to subset a series.

specifies that the data are already seasonally adjusted and the procedure is to produce summary measures. If the SUMMARY option is omitted, the X11 procedure performs seasonal adjustment of the input data before calculating summary measures.

uses the part of the input series beginning with January of the specified year to derive trading-day weights. If this option is omitted, the entire series is used.

specifies the treatment of trading-day regression. TDREG=NONE omits the computation of the trading-day regression. TDREG=PRINT computes and prints the trading-day regressions but does not adjust the series. TDREG=ADJUST computes and prints the trading-day regression and adjusts the irregular components to obtain preliminary weights. TDREG=TEST adjusts the final series if the trading-day regression estimates explain significant variation on the basis of an F test (or residual trading-day variation if prior weights are used). The default is TDREGR=NONE.

See the section Prior Daily Weights and Trading-Day Regression for details and examples using the TDREGR= option.

If ARIMA processing is requested, any value of TDREGR other than the default TDREGR=NONE will cause PROC X11 to perform an initial pass (see the Details: X11 Procedure section and the PRINTFP option).

The significance level reported in Table C15 should be viewed with caution. The dependent variable in the trading-day regression is the irregular component formed by an averaging operation. This induces a correlation in the dependent variable and hence in the residuals from which the F test is computed. Hence the distribution of the trading-day regression F statistics differs from an exact F; see Cleveland and Devlin (1980) for details.

modifies extreme irregular values prior to computing the trend cycle estimates in the first iteration. If the TRENDADJ option is omitted, the trend cycle is computed without modifications for extremes.

specifies the number of terms in the moving average to be used by the procedure in estimating the variable trend cycle component. The value of the TRENDMA= option must be 9, 13, or 23. If the TRENDMA= option is omitted, the procedure selects an appropriate moving average. For information about the number of terms in the moving average, see Shiskin, Young, and Musgrave (1967).

assigns weights to irregular values based on their distance from the mean in standard deviation units. The weights are used for estimating seasonal and trend cycle components. Irregular values beyond the standard deviation limit specified in the ZEROWEIGHT= option are assigned zero weights. Values that fall between the two limits (ZEROWEIGHT= and FULLWEIGHT=) are assigned weights linearly graduated between 0 and 1. For example, if ZEROWEIGHT=2 and FULLWEIGHT=1, a value 1.3 standard deviations from the mean would be assigned a graduated weight. The ZEROWEIGHT=value must be between 0.1 and 9.9 but must be greater than the FULLWEIGHT=value. The default is ZEROWEIGHT=2.5.

The ZEROWEIGHT option can be used in conjunction with the FULLWEIGHT= option to adjust outliers from a monthly or quarterly series. See Example 36.3 later in this chapter for an illustration of this use.