Time Series, Seasonal Adjustment, and X-12-ARIMA：时间序列，季节性的调整，和X-12-ARIMA.pptVIP

Assessment of Diagnosticsfor the Presence of Seasonality Catherine C. H. Hood Catherine Hood Consulting Auburntown, TN Acknowledgements Roxanne Feldpausch X-12-Data, programming assistance Kathy McDonald-Johnson X-12-Rvw, programming and proof-reading assistance Brian Monsell Modifications to X-12-ARIMA David Findley Motivation Wanted to check for seasonality in quarterly series, some with only 8 years of data For series that are not too short, the spectral graph is the most sensitive test for residual seasonality However, 60 points recommended (15 years for a quarterly series) Other diagnostics for residual seasonality can also be difficult for short series, and also can be model-dependent New Options in X-12-ARIMA Ability to change the spectrum used to test for the presence of seasonality spectrumseries = a1 (or a19, b1) Ability to change the estimator for the spectrum maxspecar=10 (default is 30) Spectral Analysis Allows us to see the relationships between the frequencies In a quarterly time series with a significant seasonal component, the amplitudes that dominate are at the two seasonal frequencies An annual effect at ? cycles per quarter and A biannual effect at ? cycles per quarter G.0 10*LOG(SPECTRUM) of the differenced, transformed Original Series (Table A1). Spectrum estimated from 1991.1 to 2005.2. ++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I -7.37I *I -7.37 I SI I SI I SI -10.39I SI -10.39 I SI I *SI I