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X-13ARIMA-SEATS Seasonal Adjustment Program

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Running Genhol - Examples

Index of Examples

Generating an Easter holiday regressor

This example will create a file containing user-defined regressors for Easter. This file will have values very close to those of the default regressor generated by X-13ARIMA-SEATS for Easter with a window length of 8 (easter[8]). A sample input file (easter8.inp) is given below:

global{
        numhol = 1
        outfile = "easter8.dat"
        outspec = "easter8.reg"
        first = 1990
        last = 2015
        period = 12
}
holiday1{
        name = easter8
        begbefore = -8
        endbefore = -1
        infile = "easter500.txt"
        center = calendar
}

Note that the dates of Easter holiday is provided in the file easter500.txt. The first 15 lines of the file are given below:

  4        2    1600
  4       22    1601
  4        7    1602
  3       30    1603
  4       18    1604
  4       10    1605
  3       26    1606
  4       15    1607
  4        6    1608
  4       19    1609
  4       11    1610
  4        3    1611
  4       22    1612
  4        7    1613
  3       30    1614
  4       19    1615

To run this file, enter

genhol easter8.inp

This will generate one holiday regressor for the Easter holiday, stored in easter8.dat. The regression variable is stored in X-13ARIMA-SEATS's datevalue format; the first 18 lines of the file are given below:

 1990 1  0.0
 1990 2  0.0
 1990 3  -0.382
 1990 4  0.382
 1990 5  0.0
 1990 6  0.0
 1990 7  0.0
 1990 8  0.0
 1990 9  0.0
 1990 10  0.0
 1990 11  0.0
 1990 12  0.0
 1991 1  0.0
 1991 2  0.0
 1991 3  0.618
 1991 4  -0.618
 1991 5  0.0
 1991 6  0.0

X-13ARIMA-SEATS commands to incorporate these regressors into a regARIMA model will also be stored into a file named easter8.reg. The contents of this file are given below:

regression{
   user=(
        Beforeeaster8
   )
   file="easter8_500.dat"
   format="datevalue"
   start=1980.1
   usertype=holiday
}

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Generating a 2-part Easter holiday regressor

Zhang, McLaren, and Leung (2003) developed an alternate Easter regressor for Australian series at the Australian Bureau of Statistics (henceforth ABS). Their model consisted of two regressors, one which modeled an assumed increase in the level of the series before Good Friday, and another to handle the period between Good Friday and Easter Monday, a national holiday in Australia, where a decrease in level is expected.

This example will show how to create user-defined regressors for the ABS Easter regressor. A sample input file (abseaster.inp) is given below:

global{
        numhol = 1
        outfile = "abseaster.dat"
        outspec = "abseaster.reg"
        first = 1990
        last = 2015
        period = 12
}
holiday1{
        name = abseaster
        begbefore = -8
        endbefore = -3
        begafter = 2
        infile = "easter500.txt"
        center = calendar
}

To run this file, enter

genhol abseaster.inp

This will generate two (2) holiday regressors in the file abseaster.dat - a regressor for the period before Good Friday, and another regressor for the period between Good Friday and Easter Monday, inclusive.

X-13ARIMA-SEATS commands to incorporate these regressors into a regARIMA model will also be stored as a file named abseaster.reg. The contents of this file are given below:

regression{
   user=(
        Beforeabseaster    Betweenabseaster
   )
   file="abseaster.dat"
   format="datevalue"
   start=1990.1
   usertype=holiday
}

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Generating a stock Easter holiday regressor

This utility uses the method outlined in Findley (2009) to generate stock holiday regressors. To generate an end-of-month stock Easter regressor approximately like that specified in X-13ARIMA-SEATS as easterstock[8] (see Monsell (2009) for more details), an input file like the following is needed:

global{
        numhol = 1
        outfile = "stockeaster8.dat"
        outspec = "stockeaster8.reg"
        first = 1990
        last = 2015
        period = 12
        stockday = 31
}
holiday1{
        name = stockeaster8
        begbefore = -8
        endbefore = -1
        infile = "easter500.txt"
        center = calendar
}

To generate a stock Easter regressor for another sample day, such as the 28th day of the month, an input file like the following is needed:

global{
        numhol = 1
        outfile = "stockeaster8d28.dat"
        outspec = "stockeaster8d28.reg"
        first = 1990
        last = 2015
        period = 12
        stockday = 28
}
holiday1{
        name = stockeaster8d28
        begbefore = -8
        endbefore = -1
        infile = "easter500.txt"
        center = calendar
}

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Generating a set of regressors for more than one holiday

This example will create a file containing user-defined regressors for Chinese New Year and Idul Fitri, an Islamic holiday that marks the end of Ramadan. A sample input file (indhol.inp) is given below:

global{
        numhol = 2
        outfile = "indhol.dat"
        outspec = "indhol.reg"
}
holiday1{
        name = CNY
        begbefore = -10
        endbefore = -1
        begafter = 5
        endafter = 14
        infile = "cnyInd.dat"
        center = calendar
}
holiday2{
        name = IdulFitri
        begbefore = -42
        endbefore = -21
        begafter = 1
        endafter = 7
        infile = "IFHolInd.dat"
        center = mean
}

To run this file, enter

genhol indhol.inp

This will generate six (6) holiday regressors in the file indhol.reg - three Chinese New Year regressors (for before, after and intermediate holiday effects), and Idul Fitri regressors (for before, after and intermediate holiday effects). X-13ARIMA-SEATS commands to incorporate these regressors into a regARIMA model will be stored as a file named indhol.reg. The contents of this file are given below:

regression{
   user=(
        BeforeCNY        BetweenCNY        AfterCNY
        BeforeIdulFitri    BetweenIdulFitri        AfterIdulFitri
   )
   file="indhol.dat"
   format="datevalue"
   start=1970.1
   usertype=holiday
}

Source: U.S. Census Bureau | Center for Statistical Research and Methodology | (301) 763-1649 (or x12@census.gov) |  Last Revised: April 02, 2014