X-12-ARIMA

GENHOL - a utility that generates user-defined moving holiday regressors for X-12-ARIMA

The Genhol utility creates holiday regressors using the same procedure as X-12-ARIMA uses to create regressors for the U. S. holidays of Easter, Labor Day, and Thanksgiving. Separate regressors can be generated for the effect in intervals before and after-holidays, as well as an intermediate effect around the holiday. More than one holiday can be specified, and the user can center these regressors using either their overall means or their calendar-month means (calendar-quarter means in the case of regressors for modeling quarterly data or calendar-bimonthly means in the case of regressors for modeling bimonthly data).

X-12-ARIMA commands can be generated to allow the user to easily use these regressors in a regARIMA model for an X-12-ARIMA run. For more details on specific options for user-defined regressors, go to the section on the regression spec in U. S. Census (2009).

Holiday effects for flow and stock time series can be generated with this software.

Files for some holidays are available from this website at the download section of this page. For holidays whose dates are not available, the user must supply an ASCII (text) file of dates.

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Support

Contact Brian C. Monsell at any one of the following:

email: brian.c.monsell@census.gov or x12@census.gov

Phone: 301-763-1721 (or 301-763-1643)

FAX: 301-763-8399