Eviews5 / EViews5 / Example Files / x12 / example13

9 February 1998

Example 13: The two spec files listed below show options for
adjusting for trading day and festival effects as well
as seasonal effects an Industrial Production Index for
Israel. The first spec file imports trading day and
festival adjustment factors (obtained via an external
regression program). The second spec file
illustrates the use of the x11regression spec to
calculate such calendar effect adjustments adjustments
completely within X-12-ARIMA, from a regression model
of the irregular component whose regressors are read in
from a file.

Note: We lacked full information about the model
estimated by the external program and about the methods
used for dealing with outliers. For this reason, calendar
effect factors obtained via x11regression, which are
in Tables C 16C and 16C.A of the output of the
second spec file, are occasionally somewhat
different from the factors obtained by the external
program, printed in Table A.2 of the output of the first
spec file.



# Example 13: tpr.spc

# Spec file for obtaining a trading day and festival effect adjustment
# of the industrial index series TPR50, (along with a seasonal adjustment)
# by division of the series by prior adjustment factors stored in the
# file israel.dat under the name PPR50.

series {file="israel.dat"
format="2r"
name="TPR50"
title="TPR50"
precision=3
decimals=1
}
transform {file="israel.dat"
format="2r"
name="PPR50"
type=permanent
title="PERMANENT TRADING DAY AND FESTIVAL ADJUSTMENT FACTORS"
function=log
}
automdl {identify=all}
forecast{ }
outlier { }
x11 {seasonalma=x11default
trendma=13
mode=mult
}



# Example 13: tprxreg.spc

# The x11regression spec is used to fit a user-defined model to the
# irregular component to obtain an adjustment for trading day and
# festival day effects of an industrial production index of Israel
# in addition to a seasonal adjustment. With I(t) denoting the
# irregular value at time t, R(t) the regression expression and
# e(t) noise, the model has the form
#
# I(t)-1.0 = R(t) + e(t).
#
# The series of values to be subtracted from the I(t)'s, the constant
# series with value 1.0 in this case, is input via the file
# argument of the x11regression spec. The holiday variables in this
# example represent the day of occurance of the festival in the
# month (fd) and a constant term for the four festival months (mu),
# with each month's value divided by the length of the month.

series {file="israel.dat"
format="2r"
name="TPR50"
title="TPR50"
precision=3
decimals=1
}
transform {
function=log
}
automdl {identify=all
}
forecast{ }
outlier { critical=3.5 }
x11 {seasonalma=x11default
trendma=13
mode=mult
}
x11regression{
user=(td1 td2 td3 td4 td5 td6
fd3 fd4 fd9 fd10
mu3 mu4 mu9 mu10
)
usertype=(td td td td td td
holiday holiday holiday holiday
holiday holiday holiday holiday
)
start=1975.jan
file="isrfinal.xrg"
umstart=1975.jan
umfile="isrusrmu.xrg"
critical=3.5
}