series: Import X-13ARIMA-SEATS Output Tables
In christophsax/seasonal: R Interface to X-13-ARIMA-SEATS
series R Documentation
Import X-13ARIMA-SEATS Output Tables
Description
The series function imports all tables that can be saved in
X-13ARIMA-SEATS.
Usage
series(x, series, reeval = TRUE, verbose = TRUE)
Arguments
x
an object of class "seas".
series
character vector, short or long names of an X-13ARIMA-SEATS
table. If a long name is specified, it needs to be combined with the spec
name and separated by a dot (it is not unique, otherwise. See list below.). More than one
series can be specified (see examples).
reeval
logical, if TRUE, the model is re-evaluated with the
corresponding specs enabled.
verbose
logical, if TRUE, a message is returned if a spec is added
during reevaluation.
Details
If the save argument is not specified in the model call, series
re-evaluates the call with the corresponding specs enabled (also returning a
message). Note that re-evaluation doubles the overall computational time. If
you want to accelerate the procedure, you have to be explicit about the
output in the model call (see examples).
List of all importable tables from X-13ARIMA-SEATS:
spec long name short name description
check check.acf acf autocorrelation function of residuals with standard errors and Ljung-Box Q-statistics computed through each lag
check check.acfsquared ac2 autocorrelation function of squared residuals with standard errors and Ljung-Box Q-statistics computed through each lag
check check.pacf pcf partial autocorrelation function of residuals with standard errors
composite composite.adjcompositesrs b1 aggregated time series data, prior adjusted, with associated dates
composite composite.calendaradjcomposite cac aggregated time series data, adjusted for regARIMA calendar effects.
composite composite.compositesrs cms aggregated time series data, with associated dates
composite composite.indadjsatot iaa final indirect seasonally adjusted series, with yearly totals adjusted to match the original series
composite composite.indadjustfac iaf final combined adjustment factors for the indirect seasonal adjustment
composite composite.indaoutlier iao final indirect AO outliers
composite composite.indcalendar ica final calendar factors for the indirect seasonal adjustment
composite composite.indirregular iir final irregular component for the indirect adjustment
composite composite.indlevelshift ils final indirect LS outliers
composite composite.indmcdmovavg if1 MCD moving average of the final indirect seasonally adjusted series
composite composite.indmodirr ie3 irregular component modified for extreme values from the indirect seasonal adjustment
composite composite.indmodoriginal ie1 original series modified for extreme values from the indirect seasonal adjustment
composite composite.indmodsadj ie2 seasonally adjusted series modified for extreme values from the indirect seasonal adjustment
composite composite.indreplacsi id9 final replacement values for extreme SI-ratios (differences) for the indirect adjustment
composite composite.indrevsachanges i6a percent changes for indirect seasonally adjusted series with revised yearly totals
composite composite.indrndsachanges i6r percent changes (differences) in the rounded indirect seasonally adjusted series
composite composite.indrobustsa iee final indirect seasonally adjusted series modified for extreme values
composite composite.indsachanges ie6 percent changes (differences) in the indirect seasonally adjusted series
composite composite.indsadjround irn rounded indirect seasonally adjusted series
composite composite.indseasadj isa final indirect seasonally adjusted series
composite composite.indseasonal isf final seasonal factors for the indirect seasonal adjustment
composite composite.indseasonaldiff isd final seasonal difference for the indirect seasonal adjustment (only for pseudo-additive seasonal adjustment)
composite composite.indtotaladjustment ita total indirect adjustment factors (only produced if the original series contains values that are <= 0)
composite composite.indtrend itn final trend-cycle for the indirect adjustment
composite composite.indtrendchanges ie7 percent changes (differences) in the indirect final trend component
composite composite.indunmodsi id8 final unmodified SI-ratios (differences) for the indirect adjustment
composite composite.origchanges ie5 percent changes (differences) in the original series
composite composite.outlieradjcomposite oac aggregated time series data, adjusted for outliers.
composite composite.prioradjcomposite ia3 composite series adjusted for user-defined prior adjustments applied at the component level
estimate estimate.armacmatrix acm correlation matrix of ARMA parameter estimates if used with the print argument; covariance matrix of same if used with the save argument
estimate estimate.iterations itr detailed output for estimation iterations, including log-likelihood values and parameters, and counts of function evaluations and iterations
estimate estimate.regcmatrix rcm correlation matrix of regression parameter estimates if used with the print argument; covariance matrix of same if used with the save argument
estimate estimate.regressioneffects ref Xb matrix of regression variables multiplied by the vector of estimated regression coefficients
estimate estimate.residuals rsd model residuals with associated dates or observation numbers
estimate estimate.roots rts roots of the autoregressive and moving average operators in the estimated model
force force.forcefactor ffc factors applied to get seasonally adjusted series with constrained yearly totals (if type = regress or type = denton)
force force.revsachanges e6a percent changes (differences) in seasonally adjusted series with revised yearly totals
force force.revsachangespct p6a percent changes in seasonally adjusted series with forced yearly totals
force force.rndsachanges e6r percent changes (differences) in rounded seasonally adjusted series
force force.rndsachangespct p6r percent changes in rounded seasonally adjusted series
force force.saround rnd rounded final seasonally adjusted series (if round = yes) or the rounded final seasonally adjusted series with constrained yearly totals (if type = regress or type = denton)
force force.seasadjtot saa final seasonally adjusted series with constrained yearly totals (if type = regress or type = denton)
forecast forecast.backcasts bct point backcasts on the original scale, along with upper and lower prediction interval limits
forecast forecast.forecasts fct point forecasts on the original scale, along with upper and lower prediction interval limits
forecast forecast.transformed ftr forecasts on the transformed scale, with corresponding forecast standard errors
forecast forecast.transformedbcst btr backcasts on the transformed scale, with corresponding forecast standard errors
forecast forecast.variances fvr forecast error variances on the transformed scale, showing the contributions of the error assuming the model is completely known (stochastic variance) and the error due to estimating any regression parameters (error in estimating AR and MA parameters is ignored)
history history.armahistory amh history of estimated AR and MA coefficients from the regARIMA model
history history.chngestimates che concurrent and most recent estimate of the month-tomonth (or quarter-to-quarter) changes in the seasonally adjusted data
history history.chngrevisions chr revision from concurrent to most recent estimate of the month-to-month (or quarter-to-quarter) changes in the seasonally adjusted data
history history.fcsterrors fce revision history of the accumulated sum of squared forecast errors
history history.fcsthistory fch listing of the forecast and forecast errors used to generate accumulated sum of squared forecast errors
history history.indsaestimates iae concurrent and most recent estimate of the indirect seasonally adjusted data
history history.indsarevisions iar revision from concurrent to most recent estimate of the indirect seasonally adjusted series
history history.lkhdhistory lkh history of AICC and likelihood values
history history.outlierhistory rot record of outliers removed and kept for the revisions history (printed only if automatic outlier identification is used)
history history.saestimates sae concurrent and most recent estimate of the seasonally adjusted data
history history.sarevisions sar revision from concurrent to most recent estimate of the seasonally adjusted data
history history.seatsmdlhistory smh SEATS ARIMA model history
history history.sfestimates sfe concurrent and most recent estimate of the seasonal factors and projected seasonal factors
history history.sfilterhistory sfh record of seasonal filter selection for each observation in the revisions history (printed only if automatic seasonal filter selection is used)
history history.sfrevisions sfr revision from concurrent to most recent estimate of the seasonal factor, as well as projected seasonal factors
history history.tdhistory tdh history of estimated trading day regression coefficients from the regARIMA model
history history.trendchngestimates tce concurrent and most recent estimate of the month-tomonth (or quarter-to-quarter) changes in the trend component
history history.trendchngrevisions tcr revision from concurrent to most recent estimate of the month-to-month (or quarter-to-quarter) changes in the trend component
history history.trendestimates tre concurrent and most recent estimate of the trend component
history history.trendrevisions trr revision from concurrent to most recent estimate of the trend component
identify identify.acf iac sample autocorrelation function(s), with standard errors and Ljung-Box Q-statistics for each lag
identify identify.pacf ipc sample partial autocorrelation function(s) with standard errors for each lag
outlier outlier.finaltests fts t-statistics for every time point and outlier type generated during the final outlier detection iteration (not saved when automdl/pickmdl is used)
outlier outlier.iterations oit detailed results for each iteration of outlier detection including outliers detected, outliers deleted, model parameter estimates, and robust and nonrobust estimates of the residual standard deviation
regression regression.aoutlier ao regARIMA additive (or point) outlier factors (table A8.AO)
regression regression.holiday hol regARIMA holiday factors (table A7)
regression regression.levelshift ls regARIMA level shift, temporary level shift and ramp outlier factors (table A8.LS)
regression regression.outlier otl combined regARIMA outlier factors (table A8)
regression regression.regressionmatrix rmx values of regression variables with associated dates
regression regression.regseasonal a10 regARIMA user-defined seasonal factors (table A10)
regression regression.seasonaloutlier so regARIMA seasonal outlier factors (table A8.SO)
regression regression.temporarychange tc regARIMA temporary change outlier factors (table A8.TC)
regression regression.tradingday td regARIMA trading day factors (table A6)
regression regression.transitory a13 regARIMA transitory component factors from userdefined regressors (table A13)
regression regression.userdef usr factors from user-defined regression variables (table A9)
seats seats.adjustfac s16 final SEATS combined adjustment factors
seats seats.adjustfacpct psa combined adjustment factors, expressed as percentages if appropriate
seats seats.adjustmentratio s18 final SEATS adjustment ratio
seats seats.componentmodels mdc models for the components
seats seats.cycle cyc cycle component
seats seats.difforiginal dor fully differenced transformed original series
seats seats.diffseasonaladj dsa fully differenced transformed SEATS seasonal adjustment
seats seats.difftrend dtr fully differenced transformed SEATS trend
seats seats.filtersaconc fac concurrent finite seasonal adjustment filter
seats seats.filtersasym faf symmetric finite seasonal adjustment filter
seats seats.filtertrendconc ftc concurrent finite trend filter
seats seats.filtertrendsym ftf symmetric finite trend filter
seats seats.irregular s13 final SEATS irregular component
seats seats.irregularoutlieradj se3 final SEATS irregular component, outlier adjusted
seats seats.irregularpct psi final irregular component, expressed as percentages if appropriate
seats seats.longtermtrend ltt long term trend
seats seats.pseudoinnovsadj pia pseudo-innovations of the final SEATS seasonal adjustment
seats seats.pseudoinnovseasonal pis pseudo-innovations of the seasonal component
seats seats.pseudoinnovtransitory pit pseudo-innovations of the transitory component
seats seats.pseudoinnovtrend pic pseudo-innovations of the trend component
seats seats.seasadjconst sec final SEATS seasonal adjustment with constant term included
seats seats.seasonal s10 final SEATS seasonal component
seats seats.seasonaladj s11 final SEATS seasonal adjustment
seats seats.seasonaladjfcstdecomp afd forecast of the final SEATS seasonal adjustment
seats seats.seasonaladjoutlieradj se2 final SEATS seasonal adjustment, outlier adjusted
seats seats.seasonaladjse ase standard error of final seasonally adjusted series
seats seats.seasonalfcstdecomp sfd forecast of the seasonal component
seats seats.seasonalpct pss final seasonal factors, expressed as percentages if appropriate
seats seats.seasonalse sse standard error of final steasonal component
seats seats.seasonalsum ssm seasonal-period-length sums of final SEATS seasonal component
seats seats.seriesfcstdecomp ofd forecast of the series component
seats seats.squaredgainsaconc gac squared gain for finite concurrent seasonal adjustment filter
seats seats.squaredgainsasym gaf squared gain for finite symmetric seasonal adjustment filter
seats seats.squaredgaintrendconc gtc squared gain for finite concurrent trend filter
seats seats.squaredgaintrendsym gtf squared gain for finite symmetric trend filter
seats seats.timeshiftsaconc tac time shift for finite concurrent seasonal adjustment filter
seats seats.timeshifttrendconc ttc time shift for finite concurrent trend filter
seats seats.totaladjustment sta total adjustment factors for SEATS seasonal adjustment
seats seats.transitory s14 final SEATS transitory component
seats seats.transitoryfcstdecomp yfd forecast of the transitory component
seats seats.transitorypct psc final transitory component, expressed as percentages if appropriate
seats seats.transitoryse cse standard error of final transitory component
seats seats.trend s12 final SEATS trend component
seats seats.trendadjls stl level shift adjusted trend
seats seats.trendconst stc final SEATS trend component with constant term included
seats seats.trendfcstdecomp tfd forecast of the trend component
seats seats.trendse tse standard error of final trend component
seats seats.wkendfilter wkf end filters of the semi-infinite Wiener-Kolmogorov filter
series series.adjoriginal b1 original series, adjusted for prior effects and forecast extended
series series.calendaradjorig a18 original series adjusted for regARIMA calendar effects
series series.outlieradjorig a19 original series adjusted for regARIMA outliers
series series.seriesmvadj mv original series with missing values replaced by regARIMA estimates
series series.span a1 time series data, with associated dates (if the span argument is present, data are printed and/or saved only for the specified span)
slidingspans slidingspans.chngspans chs month-to-month (or quarter-to-quarter) changes from all sliding spans
slidingspans slidingspans.indchngspans cis indirect month-to-month (or quarter-to-quarter) changes from all sliding spans
slidingspans slidingspans.indsaspans ais indirect seasonally adjusted series from all sliding spans
slidingspans slidingspans.indsfspans sis indirect seasonal factors from all sliding spans
slidingspans slidingspans.indychngspans yis indirect year-to-year changes from all sliding spans
slidingspans slidingspans.sfspans sfs seasonal factors from all sliding spans
slidingspans slidingspans.tdspans tds trading day factors from all sliding spans
slidingspans slidingspans.ychngspans ycs year-to-year changes from all sliding spans
spectrum spectrum.speccomposite is0 spectral plot of first-differenced aggregate series
spectrum spectrum.specextresiduals ser spectrum of the extended residuals
spectrum spectrum.specindirr is2 spectral plot of outlier-modified irregular series from the indirect seasonal adjustment
spectrum spectrum.specindsa is1 spectral plot of the first-differenced indirect seasonally adjusted series
spectrum spectrum.specirr sp2 spectral plot of outlier-modified X-11 irregular series
spectrum spectrum.specorig sp0 spectral plot of the first-differenced original series
spectrum spectrum.specresidual spr spectral plot of the regARIMA model residuals
spectrum spectrum.specsa sp1 spectral plot of differenced, X-11 seasonally adjusted series (or of the logged seasonally adjusted series if mode = logadd or mode = mult)
spectrum spectrum.specseatsirr s2s spectrum of the final SEATS irregular
spectrum spectrum.specseatssa s1s spectrum of the differenced final SEATS seasonal adjustment
spectrum spectrum.spectukeycomposite it0 Tukey spectrum of the first-differenced aggregate series
spectrum spectrum.spectukeyextresiduals ter Tukey spectrum of the extended residuals
spectrum spectrum.spectukeyindirr it2 Tukey spectrum of the outlier-modified irregular series from the indirect seasonal adjustment
spectrum spectrum.spectukeyindsa it1 Tukey spectrum of the first-differenced indirect seasonally adjusted series
spectrum spectrum.spectukeyirr st2 Tukey spectrum of the outlier-modified X-11 irregular series
spectrum spectrum.spectukeyorig st0 Tukey spectrum of the first-differenced original series
spectrum spectrum.spectukeyresidual str Tukey spectrum of the regARIMA model residuals
spectrum spectrum.spectukeysa st1 Tukey spectrum of the differenced, X-11 seasonally adjusted series (or of the logged seasonally adjusted series if mode = logadd or mode = mult)
spectrum spectrum.spectukeyseatsirr t2s Tukey spectrum of the final SEATS irregular
spectrum spectrum.spectukeyseatssa t1s Tukey spectrum of the differenced final SEATS seasonal adjustment
transform transform.permprior a2p permanent prior adjustment factors, with associated dates
transform transform.permprioradjusted a3p prior adjusted series using only permanent prior factors, with associated dates
transform transform.permprioradjustedptd a4p prior adjusted series using only permanent prior factors and prior trading day adjustments, with associated dates
transform transform.prior a2 prior adjustment factors, with associated dates
transform transform.prioradjusted a3 prior adjusted series, with associated dates
transform transform.prioradjustedptd a4d prior adjusted series (including prior trading day adjustments), with associated dates
transform transform.seriesconstant a1c original series with value from the constant argument added to the series
transform transform.tempprior a2t temporary prior adjustment factors, with associated dates
transform transform.transformed trn prior adjusted and transformed data, with associated dates
x11 x11.adjoriginalc c1 original series modified for outliers, trading day and prior factors, C iteration
x11 x11.adjoriginald d1 original series modified for outliers, trading day and prior factors, D iteration
x11 x11.adjustdiff fad final adjustment difference (only for pseudo-additive seasonal adjustment)
x11 x11.adjustfac d16 combined seasonal and trading day factors
x11 x11.adjustfacpct paf combined adjustment factors, expressed as percentages if appropriate
x11 x11.adjustmentratio e18 final adjustment ratios (original series/seasonally adjusted series)
x11 x11.biasfactor bcf bias correction factors
x11 x11.calendar d18 combined holiday and trading day factors
x11 x11.calendaradjchanges e8 percent changes (differences) in original series adjusted for calendar effects
x11 x11.calendaradjchangespct pe8 percent changes in original series adjusted for calendar factors
x11 x11.combholiday chl combined holiday prior adjustment factors, A16 table
x11 x11.extreme c20 extreme values, C iteration
x11 x11.extremeb b20 extreme values, B iteration
x11 x11.irregular d13 final irregular component
x11 x11.irregularadjao ira final irregular component adjusted for point outliers
x11 x11.irregularb b13 irregular component, B iteration
x11 x11.irregularc c13 irregular component, C iteration
x11 x11.irregularpct pir final irregular component, expressed as percentages if appropriate
x11 x11.irrwt c17 final weights for the irregular component
x11 x11.irrwtb b17 preliminary weights for the irregular component
x11 x11.mcdmovavg f1 MCD moving average of the final seasonally adjusted series
x11 x11.modirregular e3 irregular component modified for zero-weighted extreme values
x11 x11.modoriginal e1 original series modified for zero-weighted extreme values
x11 x11.modseasadj e2 seasonally adjusted series modified for zero-weighted extreme values
x11 x11.modsic4 c4 modified SI-ratios (differences), C iteration
x11 x11.modsid4 d4 modified SI-ratios (differences), D iteration
x11 x11.origchanges e5 percent changes (differences) in original series
x11 x11.origchangespct pe5 percent changes in the original series
x11 x11.replacsi d9 final replacement values for extreme SI-ratios (differences), D iteration
x11 x11.replacsic9 c9 modified SI-ratios (differences), C iteration
x11 x11.robustsa e11 robust final seasonally adjusted series
x11 x11.sachanges e6 percent changes (differences) in seasonally adjusted series
x11 x11.sachangespct pe6 percent changes in seasonally adjusted series
x11 x11.seasadj d11 final seasonally adjusted series
x11 x11.seasadjb11 b11 seasonally adjusted series, B iteration
x11 x11.seasadjb6 b6 preliminary seasonally adjusted series, B iteration
x11 x11.seasadjc11 c11 seasonally adjusted series, C iteration
x11 x11.seasadjc6 c6 preliminary seasonally adjusted series, C iteration
x11 x11.seasadjconst sac final seasonally adjusted series with constant from transform spec included
x11 x11.seasadjd6 d6 preliminary seasonally adjusted series, D iteration
x11 x11.seasonal d10 final seasonal factors
x11 x11.seasonaladjregsea ars seasonal factors adjusted for user-defined seasonal regARIMA component
x11 x11.seasonalb10 b10 seasonal factors, B iteration
x11 x11.seasonalb5 b5 preliminary seasonal factors, B iteration
x11 x11.seasonalc10 c10 preliminary seasonal factors, C iteration
x11 x11.seasonalc5 c5 preliminary seasonal factors, C iteration
x11 x11.seasonald5 d5 preliminary seasonal factors, D iteration
x11 x11.seasonaldiff fsd final seasonal difference (only for pseudo-additive seasonal adjustment)
x11 x11.seasonalpct psf final seasonal factors, expressed as percentages if appropriate
x11 x11.sib3 b3 preliminary unmodified SI-ratios (differences)
x11 x11.sib8 b8 unmodified SI-ratios (differences)
x11 x11.tdadjorig c19 original series adjusted for final trading day
x11 x11.tdadjorigb b19 original series adjusted for preliminary trading day
x11 x11.totaladjustment tad total adjustment factors (only printed out if the original series contains values that are <= 0)
x11 x11.trend d12 final trend-cycle
x11 x11.trendadjls tal final trend-cycle adjusted for level shift outliers
x11 x11.trendb2 b2 preliminary trend-cycle, B iteration
x11 x11.trendb7 b7 preliminary trend-cycle, B iteration
x11 x11.trendc2 c2 preliminary trend-cycle, C iteration
x11 x11.trendc7 c7 preliminary trend-cycle, C iteration
x11 x11.trendchanges e7 percent changes (differences) in final trend component series
x11 x11.trendchangespct pe7 percent changes in final trend cycle
x11 x11.trendconst tac final trend component with constant from transform spec included
x11 x11.trendd2 d2 preliminary trend-cycle, D iteration
x11 x11.trendd7 d7 preliminary trend-cycle, D iteration
x11 x11.unmodsi d8 final unmodified SI-ratios (differences)
x11 x11.unmodsiox d8b final unmodified SI-ratios, with labels for outliers and extreme values
x11 x11.yrtotals e4 ratio of yearly totals of original and seasonally adjusted series
x11regression x11regression.calendar xca final calendar factors (trading day and holiday)
x11regression x11regression.calendarb bxc preliminary calendar factors
x11regression x11regression.combcalendar xcc final calendar factors from combined daily weights
x11regression x11regression.combcalendarb bcc preliminary calendar factors from combined daily weights
x11regression x11regression.combtradingday c18 final trading day factors from combined daily weights
x11regression x11regression.combtradingdayb b18 preliminary trading day factors from combined daily weights
x11regression x11regression.extremeval c14 irregulars excluded from the irregular regression, C iteration
x11regression x11regression.extremevalb b14 irregulars excluded from the irregular regression, B iteration
x11regression x11regression.holiday xhl final holiday factors
x11regression x11regression.holidayb bxh preliminary holiday factors
x11regression x11regression.outlieriter xoi detailed results for each iteration of outlier detection including outliers detected, outliers deleted, model parameter estimates, and robust and non-robust estimates of the residual standard deviation
x11regression x11regression.priortd a4 prior trading day weights and factors
x11regression x11regression.tradingday c16 final trading day factors and weights
x11regression x11regression.tradingdayb b16 preliminary trading day factors and weights
x11regression x11regression.x11reg c15 final irregular regression coefficients and diagnostics
x11regression x11regression.x11regb b15 preliminary irregular regression coefficients and diagnostics
x11regression x11regression.xregressioncmatrix xrc correlation matrix of irregular regression parameter estimates if used with the print argument; covariance matrix of same if used with the save argument
x11regression x11regression.xregressionmatrix xrm values of irregular regression variables with associated dates
Value
depending on the table, either an object of class "ts" or
"data.frame".
References
Vignette with a more detailed description:
http://www.seasonal.website/seasonal.html
Comprehensive list of R examples from the X-13ARIMA-SEATS manual:
http://www.seasonal.website/examples.html
Official X-13ARIMA-SEATS manual:
https://www2.census.gov/software/x-13arima-seats/x13as/windows/documentation/docx13as.pdf
See Also
seas() for the main function.
Examples
m <- seas(AirPassengers)
series(m, "fct") # re-evaluate with the forecast spec activated
# more than one series
series(m, c("rsd", "fct"))
m <- seas(AirPassengers, forecast.save = "fct")
series(m, "fct") # no re-evaluation (much faster!)
# using long names
series(m, "forecast.forecasts")
# history spec
series(m, "history.trendestimates")
series(m, "history.sfestimates")
series(m, "history.saestimates")
series(m, c("history.sfestimates", "history.trendestimates"))
# slidingspans spec
series(m, "slidingspans.sfspans")
series(m, "slidingspans.ychngspans")
# fundamental identities of seasonal adjustment
# Y = T * I * (S * TD)
all.equal(AirPassengers, series(m, "seats.trend") *
series(m, "seats.irregular") * series(m, "seats.adjustfac"))
# Y_sa = Y / (S * TD)
all.equal(final(m), AirPassengers / series(m, "seats.adjustfac"))
### Some X-13ARIMA-SEATS functions can be replicated in R:
# X-13ARIMA-SEATS spectrum
plot(series(m, "spectrum.specorig")[,-1], t = "l")
# R equivalent: spectrum from stats
spectrum(diff(log(AirPassengers)), method = "ar")
# X-13ARIMA-SEATS pacf
x13.pacf <- series(m, "identify.pacf")
plot(x13.pacf[,1], t = "h")
lines(x13.pacf[,2])
lines(-x13.pacf[,2])
# R equivalent: pacf from stats
pacf(AirPassengers, lag.max = 35)
# use with composite (see vignette("multiple", "seasonal"))
m_composite <- seas(
cbind(mdeaths, fdeaths),
composite = list(),
series.comptype = "add"
)
series(m_composite, "composite.indseasadj")
christophsax/seasonal documentation built on March 27, 2024, 1:38 a.m.
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| series | R Documentation |
Import X-13ARIMA-SEATS Output Tables
Description
The series function imports all tables that can be saved in
X-13ARIMA-SEATS.
Usage
series(x, series, reeval = TRUE, verbose = TRUE)
Arguments
x |
an object of class |
series |
character vector, short or long names of an X-13ARIMA-SEATS table. If a long name is specified, it needs to be combined with the spec name and separated by a dot (it is not unique, otherwise. See list below.). More than one series can be specified (see examples). |
reeval |
logical, if |
verbose |
logical, if |
Details
If the save argument is not specified in the model call, series
re-evaluates the call with the corresponding specs enabled (also returning a
message). Note that re-evaluation doubles the overall computational time. If
you want to accelerate the procedure, you have to be explicit about the
output in the model call (see examples).
List of all importable tables from X-13ARIMA-SEATS:
| spec | long name | short name | description |
| check | check.acf | acf | autocorrelation function of residuals with standard errors and Ljung-Box Q-statistics computed through each lag |
| check | check.acfsquared | ac2 | autocorrelation function of squared residuals with standard errors and Ljung-Box Q-statistics computed through each lag |
| check | check.pacf | pcf | partial autocorrelation function of residuals with standard errors |
| composite | composite.adjcompositesrs | b1 | aggregated time series data, prior adjusted, with associated dates |
| composite | composite.calendaradjcomposite | cac | aggregated time series data, adjusted for regARIMA calendar effects. |
| composite | composite.compositesrs | cms | aggregated time series data, with associated dates |
| composite | composite.indadjsatot | iaa | final indirect seasonally adjusted series, with yearly totals adjusted to match the original series |
| composite | composite.indadjustfac | iaf | final combined adjustment factors for the indirect seasonal adjustment |
| composite | composite.indaoutlier | iao | final indirect AO outliers |
| composite | composite.indcalendar | ica | final calendar factors for the indirect seasonal adjustment |
| composite | composite.indirregular | iir | final irregular component for the indirect adjustment |
| composite | composite.indlevelshift | ils | final indirect LS outliers |
| composite | composite.indmcdmovavg | if1 | MCD moving average of the final indirect seasonally adjusted series |
| composite | composite.indmodirr | ie3 | irregular component modified for extreme values from the indirect seasonal adjustment |
| composite | composite.indmodoriginal | ie1 | original series modified for extreme values from the indirect seasonal adjustment |
| composite | composite.indmodsadj | ie2 | seasonally adjusted series modified for extreme values from the indirect seasonal adjustment |
| composite | composite.indreplacsi | id9 | final replacement values for extreme SI-ratios (differences) for the indirect adjustment |
| composite | composite.indrevsachanges | i6a | percent changes for indirect seasonally adjusted series with revised yearly totals |
| composite | composite.indrndsachanges | i6r | percent changes (differences) in the rounded indirect seasonally adjusted series |
| composite | composite.indrobustsa | iee | final indirect seasonally adjusted series modified for extreme values |
| composite | composite.indsachanges | ie6 | percent changes (differences) in the indirect seasonally adjusted series |
| composite | composite.indsadjround | irn | rounded indirect seasonally adjusted series |
| composite | composite.indseasadj | isa | final indirect seasonally adjusted series |
| composite | composite.indseasonal | isf | final seasonal factors for the indirect seasonal adjustment |
| composite | composite.indseasonaldiff | isd | final seasonal difference for the indirect seasonal adjustment (only for pseudo-additive seasonal adjustment) |
| composite | composite.indtotaladjustment | ita | total indirect adjustment factors (only produced if the original series contains values that are <= 0) |
| composite | composite.indtrend | itn | final trend-cycle for the indirect adjustment |
| composite | composite.indtrendchanges | ie7 | percent changes (differences) in the indirect final trend component |
| composite | composite.indunmodsi | id8 | final unmodified SI-ratios (differences) for the indirect adjustment |
| composite | composite.origchanges | ie5 | percent changes (differences) in the original series |
| composite | composite.outlieradjcomposite | oac | aggregated time series data, adjusted for outliers. |
| composite | composite.prioradjcomposite | ia3 | composite series adjusted for user-defined prior adjustments applied at the component level |
| estimate | estimate.armacmatrix | acm | correlation matrix of ARMA parameter estimates if used with the print argument; covariance matrix of same if used with the save argument |
| estimate | estimate.iterations | itr | detailed output for estimation iterations, including log-likelihood values and parameters, and counts of function evaluations and iterations |
| estimate | estimate.regcmatrix | rcm | correlation matrix of regression parameter estimates if used with the print argument; covariance matrix of same if used with the save argument |
| estimate | estimate.regressioneffects | ref | Xb matrix of regression variables multiplied by the vector of estimated regression coefficients |
| estimate | estimate.residuals | rsd | model residuals with associated dates or observation numbers |
| estimate | estimate.roots | rts | roots of the autoregressive and moving average operators in the estimated model |
| force | force.forcefactor | ffc | factors applied to get seasonally adjusted series with constrained yearly totals (if type = regress or type = denton) |
| force | force.revsachanges | e6a | percent changes (differences) in seasonally adjusted series with revised yearly totals |
| force | force.revsachangespct | p6a | percent changes in seasonally adjusted series with forced yearly totals |
| force | force.rndsachanges | e6r | percent changes (differences) in rounded seasonally adjusted series |
| force | force.rndsachangespct | p6r | percent changes in rounded seasonally adjusted series |
| force | force.saround | rnd | rounded final seasonally adjusted series (if round = yes) or the rounded final seasonally adjusted series with constrained yearly totals (if type = regress or type = denton) |
| force | force.seasadjtot | saa | final seasonally adjusted series with constrained yearly totals (if type = regress or type = denton) |
| forecast | forecast.backcasts | bct | point backcasts on the original scale, along with upper and lower prediction interval limits |
| forecast | forecast.forecasts | fct | point forecasts on the original scale, along with upper and lower prediction interval limits |
| forecast | forecast.transformed | ftr | forecasts on the transformed scale, with corresponding forecast standard errors |
| forecast | forecast.transformedbcst | btr | backcasts on the transformed scale, with corresponding forecast standard errors |
| forecast | forecast.variances | fvr | forecast error variances on the transformed scale, showing the contributions of the error assuming the model is completely known (stochastic variance) and the error due to estimating any regression parameters (error in estimating AR and MA parameters is ignored) |
| history | history.armahistory | amh | history of estimated AR and MA coefficients from the regARIMA model |
| history | history.chngestimates | che | concurrent and most recent estimate of the month-tomonth (or quarter-to-quarter) changes in the seasonally adjusted data |
| history | history.chngrevisions | chr | revision from concurrent to most recent estimate of the month-to-month (or quarter-to-quarter) changes in the seasonally adjusted data |
| history | history.fcsterrors | fce | revision history of the accumulated sum of squared forecast errors |
| history | history.fcsthistory | fch | listing of the forecast and forecast errors used to generate accumulated sum of squared forecast errors |
| history | history.indsaestimates | iae | concurrent and most recent estimate of the indirect seasonally adjusted data |
| history | history.indsarevisions | iar | revision from concurrent to most recent estimate of the indirect seasonally adjusted series |
| history | history.lkhdhistory | lkh | history of AICC and likelihood values |
| history | history.outlierhistory | rot | record of outliers removed and kept for the revisions history (printed only if automatic outlier identification is used) |
| history | history.saestimates | sae | concurrent and most recent estimate of the seasonally adjusted data |
| history | history.sarevisions | sar | revision from concurrent to most recent estimate of the seasonally adjusted data |
| history | history.seatsmdlhistory | smh | SEATS ARIMA model history |
| history | history.sfestimates | sfe | concurrent and most recent estimate of the seasonal factors and projected seasonal factors |
| history | history.sfilterhistory | sfh | record of seasonal filter selection for each observation in the revisions history (printed only if automatic seasonal filter selection is used) |
| history | history.sfrevisions | sfr | revision from concurrent to most recent estimate of the seasonal factor, as well as projected seasonal factors |
| history | history.tdhistory | tdh | history of estimated trading day regression coefficients from the regARIMA model |
| history | history.trendchngestimates | tce | concurrent and most recent estimate of the month-tomonth (or quarter-to-quarter) changes in the trend component |
| history | history.trendchngrevisions | tcr | revision from concurrent to most recent estimate of the month-to-month (or quarter-to-quarter) changes in the trend component |
| history | history.trendestimates | tre | concurrent and most recent estimate of the trend component |
| history | history.trendrevisions | trr | revision from concurrent to most recent estimate of the trend component |
| identify | identify.acf | iac | sample autocorrelation function(s), with standard errors and Ljung-Box Q-statistics for each lag |
| identify | identify.pacf | ipc | sample partial autocorrelation function(s) with standard errors for each lag |
| outlier | outlier.finaltests | fts | t-statistics for every time point and outlier type generated during the final outlier detection iteration (not saved when automdl/pickmdl is used) |
| outlier | outlier.iterations | oit | detailed results for each iteration of outlier detection including outliers detected, outliers deleted, model parameter estimates, and robust and nonrobust estimates of the residual standard deviation |
| regression | regression.aoutlier | ao | regARIMA additive (or point) outlier factors (table A8.AO) |
| regression | regression.holiday | hol | regARIMA holiday factors (table A7) |
| regression | regression.levelshift | ls | regARIMA level shift, temporary level shift and ramp outlier factors (table A8.LS) |
| regression | regression.outlier | otl | combined regARIMA outlier factors (table A8) |
| regression | regression.regressionmatrix | rmx | values of regression variables with associated dates |
| regression | regression.regseasonal | a10 | regARIMA user-defined seasonal factors (table A10) |
| regression | regression.seasonaloutlier | so | regARIMA seasonal outlier factors (table A8.SO) |
| regression | regression.temporarychange | tc | regARIMA temporary change outlier factors (table A8.TC) |
| regression | regression.tradingday | td | regARIMA trading day factors (table A6) |
| regression | regression.transitory | a13 | regARIMA transitory component factors from userdefined regressors (table A13) |
| regression | regression.userdef | usr | factors from user-defined regression variables (table A9) |
| seats | seats.adjustfac | s16 | final SEATS combined adjustment factors |
| seats | seats.adjustfacpct | psa | combined adjustment factors, expressed as percentages if appropriate |
| seats | seats.adjustmentratio | s18 | final SEATS adjustment ratio |
| seats | seats.componentmodels | mdc | models for the components |
| seats | seats.cycle | cyc | cycle component |
| seats | seats.difforiginal | dor | fully differenced transformed original series |
| seats | seats.diffseasonaladj | dsa | fully differenced transformed SEATS seasonal adjustment |
| seats | seats.difftrend | dtr | fully differenced transformed SEATS trend |
| seats | seats.filtersaconc | fac | concurrent finite seasonal adjustment filter |
| seats | seats.filtersasym | faf | symmetric finite seasonal adjustment filter |
| seats | seats.filtertrendconc | ftc | concurrent finite trend filter |
| seats | seats.filtertrendsym | ftf | symmetric finite trend filter |
| seats | seats.irregular | s13 | final SEATS irregular component |
| seats | seats.irregularoutlieradj | se3 | final SEATS irregular component, outlier adjusted |
| seats | seats.irregularpct | psi | final irregular component, expressed as percentages if appropriate |
| seats | seats.longtermtrend | ltt | long term trend |
| seats | seats.pseudoinnovsadj | pia | pseudo-innovations of the final SEATS seasonal adjustment |
| seats | seats.pseudoinnovseasonal | pis | pseudo-innovations of the seasonal component |
| seats | seats.pseudoinnovtransitory | pit | pseudo-innovations of the transitory component |
| seats | seats.pseudoinnovtrend | pic | pseudo-innovations of the trend component |
| seats | seats.seasadjconst | sec | final SEATS seasonal adjustment with constant term included |
| seats | seats.seasonal | s10 | final SEATS seasonal component |
| seats | seats.seasonaladj | s11 | final SEATS seasonal adjustment |
| seats | seats.seasonaladjfcstdecomp | afd | forecast of the final SEATS seasonal adjustment |
| seats | seats.seasonaladjoutlieradj | se2 | final SEATS seasonal adjustment, outlier adjusted |
| seats | seats.seasonaladjse | ase | standard error of final seasonally adjusted series |
| seats | seats.seasonalfcstdecomp | sfd | forecast of the seasonal component |
| seats | seats.seasonalpct | pss | final seasonal factors, expressed as percentages if appropriate |
| seats | seats.seasonalse | sse | standard error of final steasonal component |
| seats | seats.seasonalsum | ssm | seasonal-period-length sums of final SEATS seasonal component |
| seats | seats.seriesfcstdecomp | ofd | forecast of the series component |
| seats | seats.squaredgainsaconc | gac | squared gain for finite concurrent seasonal adjustment filter |
| seats | seats.squaredgainsasym | gaf | squared gain for finite symmetric seasonal adjustment filter |
| seats | seats.squaredgaintrendconc | gtc | squared gain for finite concurrent trend filter |
| seats | seats.squaredgaintrendsym | gtf | squared gain for finite symmetric trend filter |
| seats | seats.timeshiftsaconc | tac | time shift for finite concurrent seasonal adjustment filter |
| seats | seats.timeshifttrendconc | ttc | time shift for finite concurrent trend filter |
| seats | seats.totaladjustment | sta | total adjustment factors for SEATS seasonal adjustment |
| seats | seats.transitory | s14 | final SEATS transitory component |
| seats | seats.transitoryfcstdecomp | yfd | forecast of the transitory component |
| seats | seats.transitorypct | psc | final transitory component, expressed as percentages if appropriate |
| seats | seats.transitoryse | cse | standard error of final transitory component |
| seats | seats.trend | s12 | final SEATS trend component |
| seats | seats.trendadjls | stl | level shift adjusted trend |
| seats | seats.trendconst | stc | final SEATS trend component with constant term included |
| seats | seats.trendfcstdecomp | tfd | forecast of the trend component |
| seats | seats.trendse | tse | standard error of final trend component |
| seats | seats.wkendfilter | wkf | end filters of the semi-infinite Wiener-Kolmogorov filter |
| series | series.adjoriginal | b1 | original series, adjusted for prior effects and forecast extended |
| series | series.calendaradjorig | a18 | original series adjusted for regARIMA calendar effects |
| series | series.outlieradjorig | a19 | original series adjusted for regARIMA outliers |
| series | series.seriesmvadj | mv | original series with missing values replaced by regARIMA estimates |
| series | series.span | a1 | time series data, with associated dates (if the span argument is present, data are printed and/or saved only for the specified span) |
| slidingspans | slidingspans.chngspans | chs | month-to-month (or quarter-to-quarter) changes from all sliding spans |
| slidingspans | slidingspans.indchngspans | cis | indirect month-to-month (or quarter-to-quarter) changes from all sliding spans |
| slidingspans | slidingspans.indsaspans | ais | indirect seasonally adjusted series from all sliding spans |
| slidingspans | slidingspans.indsfspans | sis | indirect seasonal factors from all sliding spans |
| slidingspans | slidingspans.indychngspans | yis | indirect year-to-year changes from all sliding spans |
| slidingspans | slidingspans.sfspans | sfs | seasonal factors from all sliding spans |
| slidingspans | slidingspans.tdspans | tds | trading day factors from all sliding spans |
| slidingspans | slidingspans.ychngspans | ycs | year-to-year changes from all sliding spans |
| spectrum | spectrum.speccomposite | is0 | spectral plot of first-differenced aggregate series |
| spectrum | spectrum.specextresiduals | ser | spectrum of the extended residuals |
| spectrum | spectrum.specindirr | is2 | spectral plot of outlier-modified irregular series from the indirect seasonal adjustment |
| spectrum | spectrum.specindsa | is1 | spectral plot of the first-differenced indirect seasonally adjusted series |
| spectrum | spectrum.specirr | sp2 | spectral plot of outlier-modified X-11 irregular series |
| spectrum | spectrum.specorig | sp0 | spectral plot of the first-differenced original series |
| spectrum | spectrum.specresidual | spr | spectral plot of the regARIMA model residuals |
| spectrum | spectrum.specsa | sp1 | spectral plot of differenced, X-11 seasonally adjusted series (or of the logged seasonally adjusted series if mode = logadd or mode = mult) |
| spectrum | spectrum.specseatsirr | s2s | spectrum of the final SEATS irregular |
| spectrum | spectrum.specseatssa | s1s | spectrum of the differenced final SEATS seasonal adjustment |
| spectrum | spectrum.spectukeycomposite | it0 | Tukey spectrum of the first-differenced aggregate series |
| spectrum | spectrum.spectukeyextresiduals | ter | Tukey spectrum of the extended residuals |
| spectrum | spectrum.spectukeyindirr | it2 | Tukey spectrum of the outlier-modified irregular series from the indirect seasonal adjustment |
| spectrum | spectrum.spectukeyindsa | it1 | Tukey spectrum of the first-differenced indirect seasonally adjusted series |
| spectrum | spectrum.spectukeyirr | st2 | Tukey spectrum of the outlier-modified X-11 irregular series |
| spectrum | spectrum.spectukeyorig | st0 | Tukey spectrum of the first-differenced original series |
| spectrum | spectrum.spectukeyresidual | str | Tukey spectrum of the regARIMA model residuals |
| spectrum | spectrum.spectukeysa | st1 | Tukey spectrum of the differenced, X-11 seasonally adjusted series (or of the logged seasonally adjusted series if mode = logadd or mode = mult) |
| spectrum | spectrum.spectukeyseatsirr | t2s | Tukey spectrum of the final SEATS irregular |
| spectrum | spectrum.spectukeyseatssa | t1s | Tukey spectrum of the differenced final SEATS seasonal adjustment |
| transform | transform.permprior | a2p | permanent prior adjustment factors, with associated dates |
| transform | transform.permprioradjusted | a3p | prior adjusted series using only permanent prior factors, with associated dates |
| transform | transform.permprioradjustedptd | a4p | prior adjusted series using only permanent prior factors and prior trading day adjustments, with associated dates |
| transform | transform.prior | a2 | prior adjustment factors, with associated dates |
| transform | transform.prioradjusted | a3 | prior adjusted series, with associated dates |
| transform | transform.prioradjustedptd | a4d | prior adjusted series (including prior trading day adjustments), with associated dates |
| transform | transform.seriesconstant | a1c | original series with value from the constant argument added to the series |
| transform | transform.tempprior | a2t | temporary prior adjustment factors, with associated dates |
| transform | transform.transformed | trn | prior adjusted and transformed data, with associated dates |
| x11 | x11.adjoriginalc | c1 | original series modified for outliers, trading day and prior factors, C iteration |
| x11 | x11.adjoriginald | d1 | original series modified for outliers, trading day and prior factors, D iteration |
| x11 | x11.adjustdiff | fad | final adjustment difference (only for pseudo-additive seasonal adjustment) |
| x11 | x11.adjustfac | d16 | combined seasonal and trading day factors |
| x11 | x11.adjustfacpct | paf | combined adjustment factors, expressed as percentages if appropriate |
| x11 | x11.adjustmentratio | e18 | final adjustment ratios (original series/seasonally adjusted series) |
| x11 | x11.biasfactor | bcf | bias correction factors |
| x11 | x11.calendar | d18 | combined holiday and trading day factors |
| x11 | x11.calendaradjchanges | e8 | percent changes (differences) in original series adjusted for calendar effects |
| x11 | x11.calendaradjchangespct | pe8 | percent changes in original series adjusted for calendar factors |
| x11 | x11.combholiday | chl | combined holiday prior adjustment factors, A16 table |
| x11 | x11.extreme | c20 | extreme values, C iteration |
| x11 | x11.extremeb | b20 | extreme values, B iteration |
| x11 | x11.irregular | d13 | final irregular component |
| x11 | x11.irregularadjao | ira | final irregular component adjusted for point outliers |
| x11 | x11.irregularb | b13 | irregular component, B iteration |
| x11 | x11.irregularc | c13 | irregular component, C iteration |
| x11 | x11.irregularpct | pir | final irregular component, expressed as percentages if appropriate |
| x11 | x11.irrwt | c17 | final weights for the irregular component |
| x11 | x11.irrwtb | b17 | preliminary weights for the irregular component |
| x11 | x11.mcdmovavg | f1 | MCD moving average of the final seasonally adjusted series |
| x11 | x11.modirregular | e3 | irregular component modified for zero-weighted extreme values |
| x11 | x11.modoriginal | e1 | original series modified for zero-weighted extreme values |
| x11 | x11.modseasadj | e2 | seasonally adjusted series modified for zero-weighted extreme values |
| x11 | x11.modsic4 | c4 | modified SI-ratios (differences), C iteration |
| x11 | x11.modsid4 | d4 | modified SI-ratios (differences), D iteration |
| x11 | x11.origchanges | e5 | percent changes (differences) in original series |
| x11 | x11.origchangespct | pe5 | percent changes in the original series |
| x11 | x11.replacsi | d9 | final replacement values for extreme SI-ratios (differences), D iteration |
| x11 | x11.replacsic9 | c9 | modified SI-ratios (differences), C iteration |
| x11 | x11.robustsa | e11 | robust final seasonally adjusted series |
| x11 | x11.sachanges | e6 | percent changes (differences) in seasonally adjusted series |
| x11 | x11.sachangespct | pe6 | percent changes in seasonally adjusted series |
| x11 | x11.seasadj | d11 | final seasonally adjusted series |
| x11 | x11.seasadjb11 | b11 | seasonally adjusted series, B iteration |
| x11 | x11.seasadjb6 | b6 | preliminary seasonally adjusted series, B iteration |
| x11 | x11.seasadjc11 | c11 | seasonally adjusted series, C iteration |
| x11 | x11.seasadjc6 | c6 | preliminary seasonally adjusted series, C iteration |
| x11 | x11.seasadjconst | sac | final seasonally adjusted series with constant from transform spec included |
| x11 | x11.seasadjd6 | d6 | preliminary seasonally adjusted series, D iteration |
| x11 | x11.seasonal | d10 | final seasonal factors |
| x11 | x11.seasonaladjregsea | ars | seasonal factors adjusted for user-defined seasonal regARIMA component |
| x11 | x11.seasonalb10 | b10 | seasonal factors, B iteration |
| x11 | x11.seasonalb5 | b5 | preliminary seasonal factors, B iteration |
| x11 | x11.seasonalc10 | c10 | preliminary seasonal factors, C iteration |
| x11 | x11.seasonalc5 | c5 | preliminary seasonal factors, C iteration |
| x11 | x11.seasonald5 | d5 | preliminary seasonal factors, D iteration |
| x11 | x11.seasonaldiff | fsd | final seasonal difference (only for pseudo-additive seasonal adjustment) |
| x11 | x11.seasonalpct | psf | final seasonal factors, expressed as percentages if appropriate |
| x11 | x11.sib3 | b3 | preliminary unmodified SI-ratios (differences) |
| x11 | x11.sib8 | b8 | unmodified SI-ratios (differences) |
| x11 | x11.tdadjorig | c19 | original series adjusted for final trading day |
| x11 | x11.tdadjorigb | b19 | original series adjusted for preliminary trading day |
| x11 | x11.totaladjustment | tad | total adjustment factors (only printed out if the original series contains values that are <= 0) |
| x11 | x11.trend | d12 | final trend-cycle |
| x11 | x11.trendadjls | tal | final trend-cycle adjusted for level shift outliers |
| x11 | x11.trendb2 | b2 | preliminary trend-cycle, B iteration |
| x11 | x11.trendb7 | b7 | preliminary trend-cycle, B iteration |
| x11 | x11.trendc2 | c2 | preliminary trend-cycle, C iteration |
| x11 | x11.trendc7 | c7 | preliminary trend-cycle, C iteration |
| x11 | x11.trendchanges | e7 | percent changes (differences) in final trend component series |
| x11 | x11.trendchangespct | pe7 | percent changes in final trend cycle |
| x11 | x11.trendconst | tac | final trend component with constant from transform spec included |
| x11 | x11.trendd2 | d2 | preliminary trend-cycle, D iteration |
| x11 | x11.trendd7 | d7 | preliminary trend-cycle, D iteration |
| x11 | x11.unmodsi | d8 | final unmodified SI-ratios (differences) |
| x11 | x11.unmodsiox | d8b | final unmodified SI-ratios, with labels for outliers and extreme values |
| x11 | x11.yrtotals | e4 | ratio of yearly totals of original and seasonally adjusted series |
| x11regression | x11regression.calendar | xca | final calendar factors (trading day and holiday) |
| x11regression | x11regression.calendarb | bxc | preliminary calendar factors |
| x11regression | x11regression.combcalendar | xcc | final calendar factors from combined daily weights |
| x11regression | x11regression.combcalendarb | bcc | preliminary calendar factors from combined daily weights |
| x11regression | x11regression.combtradingday | c18 | final trading day factors from combined daily weights |
| x11regression | x11regression.combtradingdayb | b18 | preliminary trading day factors from combined daily weights |
| x11regression | x11regression.extremeval | c14 | irregulars excluded from the irregular regression, C iteration |
| x11regression | x11regression.extremevalb | b14 | irregulars excluded from the irregular regression, B iteration |
| x11regression | x11regression.holiday | xhl | final holiday factors |
| x11regression | x11regression.holidayb | bxh | preliminary holiday factors |
| x11regression | x11regression.outlieriter | xoi | detailed results for each iteration of outlier detection including outliers detected, outliers deleted, model parameter estimates, and robust and non-robust estimates of the residual standard deviation |
| x11regression | x11regression.priortd | a4 | prior trading day weights and factors |
| x11regression | x11regression.tradingday | c16 | final trading day factors and weights |
| x11regression | x11regression.tradingdayb | b16 | preliminary trading day factors and weights |
| x11regression | x11regression.x11reg | c15 | final irregular regression coefficients and diagnostics |
| x11regression | x11regression.x11regb | b15 | preliminary irregular regression coefficients and diagnostics |
| x11regression | x11regression.xregressioncmatrix | xrc | correlation matrix of irregular regression parameter estimates if used with the print argument; covariance matrix of same if used with the save argument |
| x11regression | x11regression.xregressionmatrix | xrm | values of irregular regression variables with associated dates |
Value
depending on the table, either an object of class "ts" or
"data.frame".
References
Vignette with a more detailed description: http://www.seasonal.website/seasonal.html
Comprehensive list of R examples from the X-13ARIMA-SEATS manual: http://www.seasonal.website/examples.html
Official X-13ARIMA-SEATS manual: https://www2.census.gov/software/x-13arima-seats/x13as/windows/documentation/docx13as.pdf
See Also
seas() for the main function.
Examples
m <- seas(AirPassengers)
series(m, "fct") # re-evaluate with the forecast spec activated
# more than one series
series(m, c("rsd", "fct"))
m <- seas(AirPassengers, forecast.save = "fct")
series(m, "fct") # no re-evaluation (much faster!)
# using long names
series(m, "forecast.forecasts")
# history spec
series(m, "history.trendestimates")
series(m, "history.sfestimates")
series(m, "history.saestimates")
series(m, c("history.sfestimates", "history.trendestimates"))
# slidingspans spec
series(m, "slidingspans.sfspans")
series(m, "slidingspans.ychngspans")
# fundamental identities of seasonal adjustment
# Y = T * I * (S * TD)
all.equal(AirPassengers, series(m, "seats.trend") *
series(m, "seats.irregular") * series(m, "seats.adjustfac"))
# Y_sa = Y / (S * TD)
all.equal(final(m), AirPassengers / series(m, "seats.adjustfac"))
### Some X-13ARIMA-SEATS functions can be replicated in R:
# X-13ARIMA-SEATS spectrum
plot(series(m, "spectrum.specorig")[,-1], t = "l")
# R equivalent: spectrum from stats
spectrum(diff(log(AirPassengers)), method = "ar")
# X-13ARIMA-SEATS pacf
x13.pacf <- series(m, "identify.pacf")
plot(x13.pacf[,1], t = "h")
lines(x13.pacf[,2])
lines(-x13.pacf[,2])
# R equivalent: pacf from stats
pacf(AirPassengers, lag.max = 35)
# use with composite (see vignette("multiple", "seasonal"))
m_composite <- seas(
cbind(mdeaths, fdeaths),
composite = list(),
series.comptype = "add"
)
series(m_composite, "composite.indseasadj")
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