R-squared 0.009204 Mean dependent var 63.43844
Adjusted R-squared -0.055670 S.D. dependent var 12.68813
S.E. of regression 13.03652 Akaike info criterion 8.037726
Sum squared resid 28551.73 Schwarz criterion 8.250590
Log likelihood -711.3954 Durbin-Watson stat 0.055307
2. 我用x12做出个报告，里面好像是说季节性 f-test Seasonality present at the 0.1 per cent level，到底是哪个月，相对于其他月份，可以看出来季节性存在啊？具体看哪个数？
WARNING: At least one visually significant trading day peak has been
found in one or more of the estimated spectra.
Reading input spec file from C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.spc
Reading data from C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.DAT
1
U. S. Department of Commerce, U. S. Census Bureau
X-12-ARIMA monthly seasonal adjustment Method,
Release Version 0.2.9
This method modifies the X-11 variant of Census Method II
by J. Shiskin A.H. Young and J.C. Musgrave of February, 1967.
and the X-11-ARIMA program based on the methodological research
developed by Estela Bee Dagum, Chief of the Seasonal Adjustment
and Time Series Staff of Statistics Canada, September, 1979.
Primary Programmers: Brian Monsell, Mark Otto
Series Title- CLOSE
Series Name- CLOSE
08/25/10 03:15:12.34
-Period covered- 8th month,1990 to 7th month,2010
-Type of run - auto-mode seasonal adjustment
-Sigma limits for graduating extreme values are 1.5 and 2.5 .
-3x3 moving average used in section 1 of each iteration,
3x5 moving average in section 2 of iterations B and C,
moving average for final seasonal factors chosen by Global MSR.
-Spectral plots generated for selected series
-Spectral plots generated for series starting in 2002.Aug
FILE SAVE REQUESTS (* indicates file exists and will be overwritten)
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d10 final seasonal factors
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d11 final seasonally adjusted data
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d12 final trend cycle
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d13 final irregular component
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.out program output file
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.err program error file
CLOSE PAGE 1, SERIES CLOSE
Contents of spc file C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.spc
Line #
------
1: series{
2: title = "CLOSE"
3: start = 1990.8
4: name = "CLOSE"
5: file = "C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.DAT"
6: }
7:
8: transform{
9: function=auto
10: }
11:
12: regression{
13: variables=(const seasonal )
14: }
15:
16: history{ }
17:
18: x11{
19: sigmalim = (1.5,2.5)
20: print = ( +ftestd8 +residualseasf +x11diag +qstat +specsa +specirr)
21: save = ( D10 D11 D12 D13)
22: savelog = (q,q2,fb1,fd8,msf)
23: }
24:
Likelihood statistics for model fit to untransformed series.
Likelihood Statistics
------------------------------------------------------------------
Effective number of observations (nefobs) 240
Number of parameters estimated (np) 13
Log likelihood (L) -1613.0787
AIC 3252.1574
AICC (F-corrected-AIC) 3253.7680
Hannan Quinn 3270.3891
BIC 3297.4057
------------------------------------------------------------------
Likelihood statistics for model fit to log transformed series.
Likelihood Statistics
------------------------------------------------------------------
Effective number of observations (nefobs) 240
Number of parameters estimated (np) 13
Log likelihood -12.7124
Transformation Adjustment -1555.7643
Adjusted Log likelihood (L) -1568.4768
AIC 3162.9536
AICC (F-corrected-AIC) 3164.5642
Hannan Quinn 3181.1853
BIC 3208.2019
------------------------------------------------------------------
***** AICC (with aicdiff=-2.00) prefers log transformation *****
***** Multiplicative seasonal adjustment will be performed. ****
CLOSE PAGE 2, SERIES CLOSE
A 1 Time series data (for the span analyzed)
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
634. 647. 639. 607. 611. 3139.
MODEL DEFINITION
Transformation
Log(y)
Regression Model
Constant + Seasonal
ARIMA Model
(0 0 0)
regARIMA Model Span
From 1990.Aug to 2010.Jul
MODEL ESTIMATION/EVALUATION
Exact ARMA likelihood estimation
Max total ARMA iterations 200
Max ARMA iter's w/in an IGLS iterati 40
Convergence tolerance 1.00E-05
Average absolute percentage error in within-sample forecasts:
Last year: 33.38 Last-1 year: 36.01 Last-2 year: 44.72
Last three years: 38.04
Regression Model
------------------------------------------------------------------
Parameter Standard
Variable Estimate Error t-value
------------------------------------------------------------------
Constant 6.4824 0.01647 393.61
Seasonal
Jan -0.0049 0.05462 -0.09
Feb -0.0017 0.05462 -0.03
Mar 0.0163 0.05462 0.30
Apr 0.0198 0.05462 0.36
May 0.0313 0.05462 0.57
Jun 0.0349 0.05462 0.64
Jul 0.0210 0.05462 0.38
Aug -0.0237 0.05462 -0.43
Sep -0.0208 0.05462 -0.38
Oct -0.0377 0.05462 -0.69
Nov -0.0205 0.05462 -0.37
*Dec (derived) -0.0141 0.05462 -0.26
------------------------------------------------------------------
*For full trading-day and stable seasonal effects, the derived
parameter estimate is obtained indirectly as minus the sum
of the directly estimated parameters that define the effect.
Chi-squared Tests for Groups of Regressors
------------------------------------------------------------------
Regression Effect df Chi-Square P-Value
------------------------------------------------------------------
Seasonal 11 1.95 1.00
------------------------------------------------------------------
ARIMA Model: (0,0,0)
Parameter Value (fixed)
-------------------------------------
Variance 0.65093E-01
Likelihood Statistics
------------------------------------------------------------------
Effective number of observations (nefobs) 240
Number of parameters estimated (np) 13
Log likelihood -12.7124
Transformation Adjustment -1555.7643
Adjusted Log likelihood (L) -1568.4768
AIC 3162.9536
AICC (F-corrected-AIC) 3164.5642
Hannan Quinn 3181.1853
BIC 3208.2019
------------------------------------------------------------------
FORECASTING
Origin 2010.Jul
Number 12
Forecasts and Standard Errors of the Transformed Data
------------------------------
Standard
Date Forecast Error
------------------------------
2010.Aug 6.46 0.261
2010.Sep 6.46 0.261
2010.Oct 6.44 0.261
2010.Nov 6.46 0.261
2010.Dec 6.47 0.261
2011.Jan 6.48 0.261
2011.Feb 6.48 0.261
2011.Mar 6.50 0.261
2011.Apr 6.50 0.261
2011.May 6.51 0.261
2011.Jun 6.52 0.261
2011.Jul 6.50 0.261
------------------------------
Confidence intervals with coverage probability (0.95000)
On the Original Scale
---------------------------------------
Date Lower Forecast Upper
---------------------------------------
2010.Aug 382.30 638.17 1065.29
2010.Sep 383.43 640.05 1068.43
2010.Oct 377.01 629.34 1050.55
2010.Nov 383.56 640.28 1068.81
2010.Dec 386.02 644.39 1075.67
2011.Jan 389.58 650.32 1085.57
2011.Feb 390.83 652.40 1089.05
2011.Mar 397.92 664.24 1108.82
2011.Apr 399.31 666.57 1112.70
2011.May 403.95 674.31 1125.62
2011.Jun 405.38 676.71 1129.62
2011.Jul 399.80 667.38 1114.05
---------------------------------------
CLOSE PAGE 3, SERIES CLOSE
B 1 Original series (prior adjusted)
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
634. 647. 639. 607. 611. 3139.
AVGE 673. 678. 689. 693. 702. 710.
700. 661. 659. 644. 657. 663.
Table Total- 162583.79 Mean- 677.43 Std. Dev.- 201.80
Min - 435.91 Max - 1508.15
B 1.A Forecasts of (prior adjusted) original series
From 2010.Aug to 2011.Jul
Observations 12
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
2010
638. 640. 629. 640. 644. 3192.
2011 650. 652. 664. 667. 674. 677.
667. 4652.
CLOSE PAGE 4, SERIES CLOSE
C 17 Final weights for irregular component
From 1990.Aug to 2010.Jul
Observations 240
Lower sigma limit 1.50
Upper sigma limit 2.50
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec S.D.
-----------------------------------------------------------------------------
1990
100.0 100.0 100.0 100.0 100.0 1.7
CLOSE PAGE 5, SERIES CLOSE
D 8 Final unmodified SI ratios
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
97.3 100.6 100.9 97.4 99.9 99.2
AVGE 99.7 100.0 101.8 102.1 103.2 103.7
102.4 98.3 98.4 96.7 98.3 98.9
Table Total- 24066.11 Mean- 100.28 Std. Dev.- 5.11
Min - 83.20 Max - 129.21
CLOSE PAGE 6, SERIES CLOSE
D 8.A F-tests for seasonality
Test for the presence of seasonality assuming stability.
Sum of Dgrs.of Mean
Squares Freedom Square F-Value
Between months 1146.2187 11 104.20170 4.660**
Residual 5098.5797 228 22.36219
Total 6244.7984 239
**Seasonality present at the 0.1 per cent level.
Nonparametric Test for the Presence of Seasonality Assuming Stability
Kruskal-Wallis Degrees of Probability
Statistic Freedom Level
43.6316 11 0.001%
Seasonality present at the one percent level.
Moving Seasonality Test
Sum of Dgrs.of Mean
Squares Freedom Square F-value
Between Years 526.7540 18 29.264110 3.744**
Error 1547.6045 198 7.816184
**Moving seasonality present at the one percent level.
COMBINED TEST FOR THE PRESENCE OF IDENTIFIABLE SEASONALITY
IDENTIFIABLE SEASONALITY NOT PRESENT
CLOSE PAGE 7, SERIES CLOSE
D 9 Final replacement values for SI ratios
From 1990.Aug to 2010.Jul
Observations 240
---------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec
---------------------------------------------------------------
1990
******** ******** ******** ******** ********
D 9.A Moving seasonality ratio
---------------------------------------------------------------
Jan Feb Mar Apr May Jun
---------------------------------------------------------------
I 1.759 2.369 2.769 2.623 3.520 2.482
S 0.229 0.399 0.516 0.341 0.478 0.891
RATIO 7.665 5.936 5.369 7.684 7.367 2.787
---------------------------------------------------------------
Jul Aug Sep Oct Nov Dec
---------------------------------------------------------------
I 3.375 3.189 2.312 2.113 2.634 3.132
S 0.708 0.543 0.640 0.613 0.672 0.506
RATIO 4.764 5.871 3.613 3.448 3.920 6.193
CLOSE PAGE 8, SERIES CLOSE
D 10 Final seasonal factors
From 1990.Aug to 2010.Jul
Observations 240
Seasonal filter 3 x 5 moving average
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
98.5 99.4 99.2 98.7 99.9 99.1
AVGE 99.4 100.0 101.6 101.9 103.4 102.9
101.4 97.6 98.2 97.0 98.7 98.9
Table Total- 24017.71 Mean- 100.07 Std. Dev.- 3.20
Min - 91.15 Max - 113.61
D 10.A Final seasonal component forecasts
From 2010.Aug to 2011.Jul
Observations 12
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
2010
100.9 93.1 90.7 92.2 94.0 94.2
2011 96.8 98.1 99.3 103.6 108.4 114.2
109.1 104.2
CLOSE PAGE 9, SERIES CLOSE
D 11 Final seasonally adjusted data
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
643. 651. 644. 615. 612. 3166.
AVGE 679. 678. 678. 679. 677. 683.
685. 676. 675. 668. 669. 673.
Table Total- 162408.49 Mean- 676.70 Std. Dev.- 197.87
Min - 430.50 Max - 1404.89
Test for the presence of residual seasonality.
No evidence of residual seasonality in the entire series at the
1 per cent level. F = 0.10
No evidence of residual seasonality in the last 3 years at the
1 per cent level. F = 0.09
No evidence of residual seasonality in the last 3 years at the
5 per cent level.
Note: sudden large changes in the level of the adjusted series will
invalidate the results of this test for the last three year period.
CLOSE PAGE 10, SERIES CLOSE
D 12 Final trend cycle
From 1990.Aug to 2010.Jul
Observations 240
Trend filter 13-term Henderson moving average
I/C ratio 1.11
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
650. 642. 633. 622. 611. 3158.
AVGE 676. 677. 678. 678. 678. 678.
677. 671. 672. 673. 673. 674.
Table Total- 162091.52 Mean- 675.38 Std. Dev.- 195.57
Min - 447.79 Max - 1346.60
CLOSE PAGE 11, SERIES CLOSE
D 13 Final irregular component
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec S.D.
-----------------------------------------------------------------------------
1990
99.0 101.4 101.8 98.9 100.1 1.2
S.D. 2.4 2.1 2.5 2.4 3.0 3.0
6.6 3.6 3.6 3.2 2.8 2.8
Table Total- 24042.36 Mean- 100.18 Std. Dev.- 3.35
Min - 90.60 Max - 117.65
CLOSE PAGE 12, SERIES CLOSE
D 16 Combined adjustment factors
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
98.5 99.4 99.2 98.7 99.9 99.1
AVGE 99.4 100.0 101.6 101.9 103.4 102.9
101.4 97.6 98.2 97.0 98.7 98.9
Table Total- 24017.71 Mean- 100.07 Std. Dev.- 3.20
Min - 91.15 Max - 113.61
D 16.A Combined adjustment component forecasts
From 2010.Aug to 2011.Jul
Observations 12
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
2010
100.9 93.1 90.7 92.2 94.0 94.2
2011 96.8 98.1 99.3 103.6 108.4 114.2
109.1 104.2
CLOSE PAGE 13, SERIES CLOSE
E 4 Ratios of annual totals
From 1991 to 2009
Observations 19
-----------------------------------
Year Unmodified Modified
(D11) (E3)
-----------------------------------
1991 100.01 100.01
1992 100.02 100.02
1993 99.94 99.95
1994 100.05 100.06
1995 99.99 99.99
1996 99.99 100.00
1997 100.12 100.12
1998 100.07 100.07
1999 100.05 100.04
2000 99.99 99.99
2001 99.88 99.90
2002 99.78 99.78
2003 99.70 99.70
2004 100.16 100.16
2005 99.93 99.93
2006 99.69 99.69
2007 99.23 99.23
2008 100.52 100.52
2009 99.96 99.96
CLOSE PAGE 14, SERIES CLOSE
E 5 Month-to-month percent change in the original series
From 1990.Sep to 2010.Jul
Observations 239
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
2.2 -1.2 -5.0 0.7 -0.8
AVGE 1.0 0.4 1.9 0.4 1.2 0.5
-1.1 -2.1 0.5 -1.4 1.8 0.7
Table Total- 82.05 Mean- 0.34 Std. Dev.- 5.45
Min - -22.62 Max - 18.01
CLOSE PAGE 15, SERIES CLOSE
E 6 Month-to-month percent change in seasonally adjusted series (D11)
From 1990.Sep to 2010.Jul
Observations 239
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
1.2 -1.1 -4.5 -0.5 -1.2
AVGE 0.5 -0.2 0.2 0.2 -0.2 1.0
0.3 1.3 -0.1 -0.2 0.0 0.5
Table Total- 66.45 Mean- 0.28 Std. Dev.- 5.03
Min - -20.97 Max - 17.34
CLOSE PAGE 16, SERIES CLOSE
E 7 Month-to-month percent change in final trend cycle (D12)
From 1990.Sep to 2010.Jul
Observations 239
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
-1.2 -1.5 -1.7 -1.7 -1.5
AVGE 0.0 0.1 0.1 0.1 0.1 0.1
0.1 0.4 0.3 0.2 0.1 0.1
Table Total- 27.86 Mean- 0.12 Std. Dev.- 2.71
Min - -7.92 Max - 9.14
CLOSE PAGE 17, SERIES CLOSE
F 2. Summary Measures
F 2.A: Average percent change without regard to sign over the
indicated span
Span
in B1 D11 D13 D12 D10 A2 D18 F1
months O CI I C S P TD&H mcd
1 3.97 3.71 3.10 2.00 1.69 0.00 0.00 2.60
2 6.64 5.91 3.94 3.94 2.48 0.00 0.00 4.87
3 8.15 7.44 3.98 5.78 3.32 0.00 0.00 6.66
4 9.43 8.78 3.51 7.50 3.72 0.00 0.00 8.18
5 10.86 10.24 3.37 9.08 4.08 0.00 0.00 9.63
6 12.12 11.47 3.37 10.52 4.12 0.00 0.00 10.94
7 13.10 12.61 3.29 11.82 4.12 0.00 0.00 12.12
8 14.06 13.76 3.55 13.07 3.83 0.00 0.00 13.26
9 15.06 14.94 3.38 14.13 3.48 0.00 0.00 14.37
10 16.07 15.98 3.22 15.11 2.61 0.00 0.00 15.40
11 16.76 16.77 3.32 15.94 1.78 0.00 0.00 16.18
12 17.46 17.46 3.85 16.67 0.53 0.00 0.00 16.89
Span
in E1 E2 E3
months Mod.O Mod.CI Mod.I
1 3.77 3.37 2.68
2 6.17 5.41 3.27
3 7.71 6.98 3.29
4 9.03 8.40 2.84
5 10.51 9.95 2.79
6 11.90 11.19 2.71
7 12.96 12.36 2.70
8 13.94 13.55 3.00
9 14.95 14.72 2.74
10 15.99 15.82 2.66
11 16.71 16.67 2.75
12 17.36 17.38 3.25
F 2.B: Relative contributions to the variance of the percent change
in the components of the original series
Span
in E3 D12 D10 A2 D18 RATIO
months I C S P TD&H TOTAL (X100)
1 51.16 28.54 20.31 0.00 0.00 100.00 98.43
2 32.98 48.02 19.01 0.00 0.00 100.00 85.05
3 19.57 60.47 19.96 0.00 0.00 100.00 93.04
4 10.29 72.01 17.70 0.00 0.00 100.00 96.01
5 7.29 77.14 15.56 0.00 0.00 100.00 96.77
6 5.43 81.97 12.60 0.00 0.00 100.00 95.31
7 4.44 85.20 10.36 0.00 0.00 100.00 97.59
8 4.62 87.84 7.54 0.00 0.00 100.00 99.97
9 3.41 91.05 5.54 0.00 0.00 100.00 98.03
10 2.92 94.26 2.82 0.00 0.00 100.00 94.80
11 2.85 95.96 1.19 0.00 0.00 100.00 94.80
12 3.66 96.24 0.10 0.00 0.00 100.00 95.81
F 2.C: Average percent change with regard to sign and standard
deviation over indicated span
Span B1 D13 D12
in O I C
months Avg. S.D. Avg. S.D. Avg. S.D.
1 0.34 5.43 0.16 4.14 0.12 2.71
2 0.73 8.57 0.21 5.25 0.33 5.35
3 1.11 10.76 0.20 5.30 0.63 7.87
4 1.52 12.47 0.19 4.68 1.00 10.24
5 1.94 14.32 0.18 4.57 1.42 12.41
6 2.37 16.04 0.17 4.47 1.87 14.40
7 2.80 17.56 0.16 4.37 2.34 16.19
8 3.27 19.07 0.19 4.73 2.83 17.81
9 3.69 20.37 0.18 4.61 3.31 19.28
10 4.09 21.57 0.18 4.53 3.79 20.63
11 4.47 22.64 0.16 4.37 4.26 21.87
12 4.96 23.76 0.22 5.09 4.71 23.05
Span D10 D11 F1
in S CI mcd
months Avg. S.D. Avg. S.D. Avg. S.D.
1 0.07 2.32 0.28 5.02 0.18 3.47
2 0.16 3.56 0.56 7.80 0.47 6.47
3 0.24 4.56 0.88 9.93 0.83 8.91
4 0.28 5.05 1.25 11.78 1.22 11.02
5 0.30 5.44 1.66 13.73 1.64 12.99
6 0.30 5.59 2.10 15.56 2.10 14.84
7 0.29 5.69 2.55 17.20 2.58 16.56
8 0.24 5.49 3.06 18.79 3.08 18.13
9 0.18 5.06 3.53 20.12 3.56 19.54
10 0.09 3.95 4.01 21.33 4.04 20.83
11 0.02 2.52 4.46 22.53 4.51 22.05
12 0.00 0.69 4.97 23.75 4.97 23.24
F 2.D: Average duration of run CI I C mcd
2.15 1.80 8.24 4.02
F 2.E: I/C Ratio for months span
SPAN 1 2 3 4 5 6
I/C 1.55 1.00 0.69 0.47 0.37 0.32
SPAN 7 8 9 10 11 12
I/C 0.28 0.27 0.24 0.21 0.21 0.23
months for cyclical dominance: 2
F 2.F: Relative contribution of the components to the stationary
portion of the variance in the original series
I C S P TD&H Total
1.36 95.53 1.94 0.00 0.00 98.83
F 2.G: The autocorrelation of the irregulars for spans 1 to 14
SPAN 1 2 3 4 5 6 7
ACF 0.17 -0.29 -0.31 -0.03 0.03 0.06 0.11
SPAN 8 9 10 11 12 13 14
ACF -0.05 0.00 0.04 0.11 -0.18 -0.05 0.14
F 2.H: The final I/C Ratio from Table D12: 1.11
The final I/S Ratio from Table D10: 4.94
F 2.I: Statistic Prob.
level
F-test for stable seasonality from Table B 1. : 2.033 2.67%
F-test for stable seasonality from Table D 8. : 4.660 0.00%
Kruskal-Wallis Chi Squared test
for stable seasonality from Table D 8. : 43.632 0.00%
F-test for moving seasonality from Table D 8. : 3.744 0.00%
CLOSE PAGE 19, SERIES CLOSE
F 3. Monitoring and Quality Assessment Statistics
All the measures below are in the range from 0 to 3 with an
acceptance region from 0 to 1.
1. The relative contribution of the irregular over three M1 = 1.957
months span (from Table F 2.B).
2. The relative contribution of the irregular component M2 = 0.136
to the stationary portion of the variance (from Table
F 2.F).
3. The amount of month to month change in the irregular M3 = 0.054
component as compared to the amount of month to month
change in the trend-cycle (from Table F2.H).
4. The amount of autocorrelation in the irregular as M4 = 1.590
described by the average duration of run (Table F 2.D).
5. The number of months it takes the change in the trend- M5 = 0.300
cycle to surpass the amount of change in the irregular
(from Table F 2.E).
6. The amount of year to year change in the irregular as M6 = 0.375
compared to the amount of year to year change in the
seasonal (from Table F 2.H).
7. The amount of moving seasonality present relative to M7 = 1.399
the amount of stable seasonality (from Table F 2.I).
8. The size of the fluctuations in the seasonal component M8 = 1.653
throughout the whole series.
9. The average linear movement in the seasonal component M9 = 0.920
throughout the whole series.
10. Same as 8, calculated for recent years only. M10 = 2.641
11. Same as 9, calculated for recent years only. M11 = 2.482
*** CONDITIONALLY REJECTED *** at the level 1.05
*** Check the 6 above measures which failed.
*** Q (without M2) = 1.16 CONDITIONALLY REJECTED.
CLOSE PAGE 20, SERIES CLOSE
Visually significant residual trading day peaks have been
found in the spectral plot of the following series starting in 2002.Aug:
differenced, transformed original series (1 Trading Day peak(s))
CLOSE PAGE 21, SERIES CLOSE
G.0 10*LOG(SPECTRUM) of the differenced, transformed Original Data
(Table A1 or B1). Spectrum estimated from 2002.Aug to 2010.Jul.
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
-16.88I * I -16.88
I * I
I * * I
I * * I
-18.28I * * I -18.28
I * * I
I *** * I
I * *** * * I
-19.69I * *** * * I -19.69
I * *** ** * * * I
I * ***** *S * * T I
I * ****S *S * * T I
-21.10I * ****S *S * ** T I -21.10
I * ****S *S * ** T I
I * ****S *S * ** T I
I * ****S *S * ** T I
-22.50I ** ****S * *S ** ** T* * I -22.50
I ** ****S * *S ** ** T* * I
I *** ****S * *S *** ** T*** I
I ********S* ** *S *** ** * T*** I
-23.91I ********S* ** *S**** ** * T*** I -23.91
I ********S* ** *S**** ** * * T*** I
I ********S**** *S**** ** ** * *T*** I
I ********S**** *S**** *** ** * *T*** I
-25.31I ********S**** *S**** *** *** * *T*** *I -25.31
I ********S**** *S**** *** *** * *T**** SI
I ********S**** *S**** *** *** * *T**** SI
I ********S**** *S**** ******* * *T**** SI
-26.72I ********S**** *S**** ******** * *T**** SI -26.72
I ********S**** *S***** S******** * *T**** SI
I *********S**** *S***** * S******** * *T**** *SI
I *********S**** *S******* S******** ** *T**** *SI
-28.12I *********S**** **S*********S******** T* *T**** *SI -28.12
I *********S***** **S*********S******** T* *T***** *SI
I**********S***** **S*********S********* T* **T*******SI
I**********S***** **S*********S********* T** S*T*******SI
-29.53I**********S***** **S*********S********* T** S*T*******SI -29.53
I**********S***** **S*********S********* *T** S*T*******SI
I**********S***** **S*********S***********T** S*T*******SI
I**********S***** **S*********S*********S*T** S*T*******SI
-30.93I**********S***** ***S*********S*********S*T** S*T*******SI -30.93
I**********S*********S*********S*********S*T** S*T*******SI
I**********S*********S*********S*********S*T** S*T*******SI
I**********S*********S*********S*********S*T** S*T*******SI
-32.34I**********S*********S*********S*********S*T** *S*T*******SI -32.34
I**********S*********S*********S*********S*T** *S*T*******SI
I**********S*********S*********S*********S*T** *S*T*******SI
I**********S*********S*********S*********S*T*** *S*T*******SI
-33.75I**********S*********S*********S*********S*T*** *S*T*******SI -33.75
I**********S*********S*********S*********S*T*** *S*T*******SI
I**********S*********S*********S*********S*T*** **S*T*******SI
I**********S*********S*********S*********S*T*** **S*T*******SI
-35.15I**********S*********S*********S*********S*T*******S*T*******SI -35.15
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
S=SEASONAL FREQUENCIES, T=TRADING DAY FREQUENCIES
CLOSE PAGE 22, SERIES CLOSE
G.1 10*LOG(SPECTRUM) of the differenced, transformed seasonally adjusted
data (Table E2). Spectrum estimated from 2002.Aug to 2010.Jul.
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
-15.63I * I -15.63
I * I
I * I
I * I
-17.29I * * I -17.29
I * * I
I * * I
I * * I
-18.94I * * I -18.94
I ** * I
I ** * I
I * ** * * I
-20.60I * ** * * * I -20.60
I * ** * * * T I
I ** ** * * * T I
I *** ** * * * T I
-22.25I ****** * * * T I -22.25
I ****** * * * T I
I ****** * * * T* I
I ******* * * ** * * T* * I
-23.90I ******* * *** ** ** * T* * I -23.90
I ******** * *** ** ** * T* ** I
I ******** * *** ** ** * T* ** I
I********* * *** *** ** * T**** I
-25.56I********* * *** *** ** * T***** I -25.56
I********* ** *** *** ** * *T***** I
I********* ** * *** *** ** * *T***** I
I********* ** * *** *** ** * *T***** I
-27.21I********* ** ** **** *** ** * *T***** I -27.21
I********* ** ** **** **** ** * *T***** I
I********** *** ** ***** ******* * *T***** I
I********** *** ** ****** ******** * *T****** I
-28.87I********** *** ********** S******* * *T****** I -28.87
I********** *** **S*********S******* * **T****** I
I********** **** ***S*********S******* * S*T******* I
I*************** ***S*********S******* * S*T********I
-30.52I**********S**** ***S*********S******* * S*T*******SI -30.52
I**********S**** ***S*********S******* ** S*T*******SI
I**********S***** ***S*********S******* ** S*T*******SI
I**********S*********S*********S******* ** *S*T*******SI
-32.17I**********S*********S*********S******* ** *S*T*******SI -32.17
I**********S*********S*********S******** *** *S*T*******SI
I**********S*********S*********S******** T** *S*T*******SI
I**********S*********S*********S******** T** **S*T*******SI
-33.83I**********S*********S*********S******** T** **S*T*******SI -33.83
I**********S*********S*********S******** T** **S*T*******SI
I**********S*********S*********S******** T** **S*T*******SI
I**********S*********S*********S******** T*** ***S*T*******SI
-35.48I**********S*********S*********S******** T*** ***S*T*******SI -35.48
I**********S*********S*********S******** T*******S*T*******SI
I**********S*********S*********S********* T*******S*T*******SI
I**********S*********S*********S********* *T*******S*T*******SI
-37.14I**********S*********S*********S***********T*******S*T*******SI -37.14
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
S=SEASONAL FREQUENCIES, T=TRADING DAY FREQUENCIES
CLOSE PAGE 23, SERIES CLOSE
G.2 10*LOG(SPECTRUM) of the modified irregular (Table E3).
Spectrum estimated from 2002.Aug to 2010.Jul.
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
-18.39I * I -18.39
I * I
I * I
I * I
-20.22I * I -20.22
I * I
I * I
I * I
-22.04I * I -22.04
I * I
I * I
I * * I
-23.87I * * I -23.87
I * * I
I ** * I
I *** * I
-25.70I *** * I -25.70
I *** * I
I *** * * I
I *** * * * I
-27.52I *** ** * T I -27.52
I * *** ** * * T I
I ** ***** ** * * T* I
I ********* ** ** * T* I
-29.35I **S******* *** ** * T* * I -29.35
I **S******* *** ** * T* * I
I * ***S******* *** ** * T* ** I
I ** ***S******* *** ** * T* ** I
-31.18I *******S******* ******* * T**** I -31.18
I *******S******** ******* * T**** I
I *******S******** ******* * *T***** I
I * ********S******** ******** * *T***** I
-33.00I ** ********S*********S******* * *T***** I -33.00
I ** ********S*********S******* * *T***** I
I ** ********S*********S******* * *T***** I
I ** ********S*********S******* * *T****** I
-34.83I *** *********S*********S******* * **T********I -34.83
I *** *********S*********S******* * S*T*******SI
I *************S*********S******* * S*T*******SI
I ***S*********S*********S******* * S*T*******SI
-36.66I ***S*********S*********S******** ** S*T*******SI -36.66
I ****S*********S*********S******** ** *S*T*******SI
I ****S*********S*********S******** ** *S*T*******SI
I ****S*********S*********S******** *** *S*T*******SI
-38.48I ****S*********S*********S******** T** *S*T*******SI -38.48
I ****S*********S*********S******** T** *S*T*******SI
I ****S*********S*********S******** T** **S*T*******SI
I *****S*********S*********S******** T** **S*T*******SI
-40.31I *****S*********S*********S********* T** **S*T*******SI -40.31
I *****S*********S*********S********* T** **S*T*******SI
I** ******S*********S*********S********* *T*** **S*T*******SI
I**********S*********S*********S***********T*** ***S*T*******SI
-42.14I**********S*********S*********S*********S*T*******S*T*******SI -42.14
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
S=SEASONAL FREQUENCIES, T=TRADING DAY FREQUENCIES
CLOSE PAGE 24, SERIES CLOSE
R 0 Summary of options selected for revisions history analysis.
History analysis performed for the following:
---------------------------------------------
- Final Seasonally Adjusted Series
Starting date for history analysis: 1998.Aug
Ending date for history analysis: 2010.Jul
Seasonal Adjustment Revisions Computed Using Final as Target.
regARIMA coefficient estimates are estimated during the history analysis.
No outliers kept or deleted during this history analysis.
CLOSE PAGE 25, SERIES CLOSE
R 1 Percent revisions of the concurrent seasonal adjustments
From 1998.Aug to 2010.Jun
Observations 143
Date Conc -
Final
---- ------
1998
Aug -0.89
Sep -3.94
Oct -3.38
Nov -4.31
Dec -1.88
1999
Jan -0.69
Feb 0.56
Mar -0.41
Apr -0.66
May -0.66
Jun 0.35
Jul -1.47
Aug -3.65
Sep -6.65
Oct -1.76
Nov -2.61
Dec 0.75
2000
Jan -0.78
Feb -0.05
Mar -0.97
Apr -0.29
May -0.76
Jun 0.03
Jul -4.58
Aug -1.90
Sep -7.34
Oct -1.13
Nov -4.18
Dec -2.52
2001
Jan 0.32
Feb 0.65
Mar -0.21
Apr 0.35
May 0.08
Jun -1.34
Jul -5.80
Aug -2.39
Sep -5.27
Oct 0.67
Nov 0.91
Dec 1.25
2002
Jan 1.04
Feb 0.30
Mar -2.35
Apr -2.24
May -3.02
Jun -2.98
Jul -2.75
Aug 1.05
Sep 2.22
Oct 2.38
Nov 1.27
Dec 0.73
CLOSE PAGE 26, SERIES CLOSE
R 1 Percent revisions of the concurrent seasonal adjustments
Date Conc -
Final
---- ------
2003
Jan -0.59
Feb -1.60
Mar -4.96
Apr -4.15
May -4.36
Jun -3.03
Jul -4.43
Aug 3.02
Sep 6.87
Oct 5.59
Nov 3.87
Dec 3.78
2004
Jan 2.96
Feb 1.23
Mar -2.33
Apr -1.56
May -1.10
Jun -3.77
Jul -5.03
Aug 1.67
Sep 2.23
Oct 2.34
Nov -0.02
Dec 0.17
2005
Jan 0.12
Feb -1.06
Mar -0.34
Apr 3.47
May 1.97
Jun -2.41
Jul -2.33
Aug 1.31
Sep 3.19
Oct 0.54
Nov -0.49
Dec -0.58
2006
Jan -1.89
Feb -3.50
Mar -1.69
Apr 1.57
May 0.72
Jun -1.64
Jul -1.85
Aug 0.40
Sep 0.09
Oct 2.88
Nov 1.11
Dec 4.05
2007
Jan 1.05
Feb -0.11
Mar 5.62
Apr 4.14
May 0.29
Jun -2.65
Jul -0.42
Aug 1.04
Sep 6.16
Oct 5.20
Nov 7.45
Dec 7.00
CLOSE PAGE 27, SERIES CLOSE
R 1 Percent revisions of the concurrent seasonal adjustments
Date Conc -
Final
---- ------
2008
Jan 5.86
Feb 6.52
Mar 7.02
Apr 2.25
May -2.22
Jun -5.26
Jul -2.86
Aug -2.19
Sep 4.82
Oct 2.64
Nov 2.86
Dec 1.07
2009
Jan 2.13
Feb 5.28
Mar 4.51
Apr -0.48
May -3.38
Jun -2.27
Jul 2.04
Aug 2.39
Sep 10.80
Oct 3.53
Nov -0.29
Dec -1.09
2010
Jan 6.27
Feb 4.58
Mar 3.18
Apr -1.50
May -0.64
Jun -0.03
CLOSE PAGE 28, SERIES CLOSE
R 1.S Summary statistics : average absolute percent revisions of the seasonal adjustments
Date Conc -
Final
---- ------
Months:
Jan 1.97
Feb 2.12
Mar 2.80
Apr 1.89
May 1.60
Jun 2.15
Jul 3.05
Aug 1.82
Sep 4.96
Oct 2.67
Nov 2.45
Dec 2.07
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