SAS Programs to Get the Most from X-12-ARIMA's Modeling and Seasonal Adjustment Diagnostics

SAS®'s PROC X11 is based on the Census Bureau's X-11 seasonal adjustment program written in the early 1960's. Future SAS/ETS® Versions will contain PROC X12, based on the Census Bureau's new X-12-ARIMA program, a publicly-available program used worldwide for time series modeling and seasonal adjustment. Major advances in X-12-ARIMA include 1) the ability to use regARIMA models—regression models with ARIMA errors, 2) a new user interface, and 3) new modeling and seasonal adjustment diagnostics, including graphics. This paper will briefly review some of the basic issues of seasonal adjustment and advances in X-12-ARIMA over X-11. I will focus on the diagnostics available in X-12-ARIMA, particularly the graphical diagnostics including spectral graphs, forecast error history graphs, and revision graphs. The Census Bureau has developed two SAS programs to provide graphical diagnostics and easier access to the diagnostics: X-12-Graph, the companion graphics package to X-12-ARIMA and a SAS interface to X-12-ARIMA. X-12-Graph uses SAS/AF®, SAS/GRAPH®, and SAS Macros and is available for the PC and Unix. The Bureau's SAS interface uses SAS/AF. This paper is intended for anyone interested in time series analysis