README.md

In nmecsys/NMECX13: Seasonal adjustment for multiple time series

NMECX13

The package NMECX13 uses X-13ARIMA-SEATS program by US Census Bureau to perform seasonal adjustment in multiple time series simultaneously. The main function seasX13() uses the package seasonal to perform the seasonal adjustment. The function also performs an automatic correction routine so that the results are properly diagnosed (residuals without autocorrelation and seasonality).

The package is in development. Reviews, comments and pull requests are welcome.

Installation

devtools::install_github('nmecsys/NMECX13')
library(NMECX13)

Usage

There are three steps to perform the seasonal adjustment in several series:

1. read
2. automatic seasonal adjustment, check results and correct them if necessary
3. export results to a csv file

1. Reading a file

Use the function readX13() to read a CSV or a XLSX file or a data.frame object with the time series. The file/object must have 2 or more columns. The first one must contain the sequential date of the time series. Missing values are supported. Examples:

readX13(path = "file_name.csv")
readX13(path = "file_name.xlsx", sheetNumber = 1)
readX13(path = dataFrameObject)

The sheetNumber argument is the sheet number of xlsx file.

readX13() outputs

The function return a list containing the following elements:

• xts: time series in the path file.

• xtsNA: a object identifying the missing observations in each series.

• deniedNames: a vector naming the time series that will not be seasonally adjusted (less than three years of observation).

• acceptedNames: a vector naming time series that can be seasonally adjusted.

• path: to the csv/xlsx file

2. Automatic seasonal adjustment

Use the function seasX13() to perform an automatic seasonal adjustment in time series. This function receives the output from function readX13().

seasX13(x, autoCorrection = NULL, userCorrection = NULL)

• x: output from function readX13() function;

• autoCorrection: a vector naming the time series should be auto corrected;

• userCorrection: a vector naming the time series should be corrected by user specifications.

seasX13() outputs

• xSA: seasonally adjusted time series

• seasonalFactors: seasonal factors for each series

• calendarFactors: calendar effects for each series

• totalFactors: seasonal plus calendar factors for each series

• espec: model specifications for each series

• model: output from seas function (package seasonal) for each series

• read: output items from readX13 function

3. Exporting results

The function saveX13() exports CSV files for seasonally adjusted data, seasonal factors, calendar factors, total factors (seasonal & calendar factors) and model specification for each series.

saveX13(output, file = "")

Function arguments:

• output: output from seasX13() function.

• file: a character string naming the file

 

Example

This example will read a data.frame called serviceSurvey. The data contains 3 time series.

step 1: read the data

# load and read data example
data(serviceSurvey)
data <- readX13(serviceSurvey)

step 2: perform an automatic seasonal adjustment

# auto seasonal adjustment
auto <- seasX13(data)

# some results: model especifications
auto$espec

# some results: SARIMA model (first series)
summary(auto$model$ICS)

# some results: plot (second series)
ts.plot(data$xts[,"IES"],auto$xSA[,"IES"], col = 1:2, lwd = 1:2)
legend("topright", legend = c("original", "seas. adjusted"), col = 1:2, lwd = 1:2, bty = "n")

• correct automatic seasonal adjustment using autoCorrection argument from seasX13() function

# correct all series (be patient, 48 models will be executed for each series)
correct1 <- seasX13(auto, autoCorrection = "")

# correct just one series
correct2 <- seasX13(auto, autoCorrection = c("ISAS"))

• correct automatic seasonal adjustment using userCorrection argument from seasX13() function.

# edit the specification of output object from function seasX13 
auto$espec["IES","arima.model"] <- "(0 1 1)(0 1 1)"
auto$espec["IES","calendar.effects"] <- "td, carnival"

# run seasonal adjustment with userCorrection option
correct3 <- seasX13(auto, userCorrection = c("IES"))
correct3$espec

step 3: export results

saveX13(auto, "auto")

The results will be export to the working directory.

nmecsys/NMECX13 documentation built on Oct. 22, 2021, 6:41 a.m.