Seasonal Adjustment

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MartinF
Posts: 4
Joined: Wed Oct 15, 2008 1:56 am

Seasonal Adjustment

Postby MartinF » Wed Oct 15, 2008 2:10 am

Hello,

I want to create an pseudo out of sample forecast program, but I only have non seasonal adj. data.
Well, I have monthly data of inflation and I want to have a new calibration of the seasonal component. So I just want to have monthly dummies like in these equation.

y=c(1)+c(2)*m2+c(3)*m3+c(4)*m4+c(5)*m5+c(6)*m6+c(7)*m7+c(8)*m8+c(9)*m9+c(10)*m10+c(11)*m11+c(12)*m12

with m2=1 if Februar and m2=0 if not Februar
and so on...

I don't know how I can create the seasonal dummies m2,m3...m12???

Can somebody help me?

Thanks
MartinF

startz
Non-normality and collinearity are NOT problems!
Posts: 3178
Joined: Wed Sep 17, 2008 2:25 pm

Re: Seasonal Adjustment

Postby startz » Wed Oct 15, 2008 3:37 am

MartinF wrote:Hello,

I want to create an pseudo out of sample forecast program, but I only have non seasonal adj. data.
Well, I have monthly data of inflation and I want to have a new calibration of the seasonal component. So I just want to have monthly dummies like in these equation.

y=c(1)+c(2)*m2+c(3)*m3+c(4)*m4+c(5)*m5+c(6)*m6+c(7)*m7+c(8)*m8+c(9)*m9+c(10)*m10+c(11)*m11+c(12)*m12

with m2=1 if Februar and m2=0 if not Februar
and so on...

I don't know how I can create the seasonal dummies m2,m3...m12???

Can somebody help me?

Thanks
MartinF

Code: Select all

series m2=@month=2

MartinF
Posts: 4
Joined: Wed Oct 15, 2008 1:56 am

Re: Seasonal Adjustment

Postby MartinF » Wed Oct 15, 2008 5:19 am

Thank you for your comment, but I have an additional question.
Is it possible to integrate the Census X12 application in a routine?
First I have a sample of 200 observations, then go back to 100.
Then I make an seasonal adjustment of the series by Census X12.
After that I estimate a 1 step forecast.
Well, now extend my range to 101.
Then SA by Census X12
1 step forecast.
range extention to 102
...
up to range 200
after that I want to compare different models by the RootMSFE.

Is it possible to integrate Census X12 by an command?

Best regards
MartinF

startz
Non-normality and collinearity are NOT problems!
Posts: 3178
Joined: Wed Sep 17, 2008 2:25 pm

Re: Seasonal Adjustment

Postby startz » Wed Oct 15, 2008 5:30 am

MartinF wrote:Thank you for your comment, but I have an additional question.
Is it possible to integrate the Census X12 application in a routine?
First I have a sample of 200 observations, then go back to 100.
Then I make an seasonal adjustment of the series by Census X12.
After that I estimate a 1 step forecast.
Well, now extend my range to 101.
Then SA by Census X12
1 step forecast.
range extention to 102
...
up to range 200
after that I want to compare different models by the RootMSFE.

Is it possible to integrate Census X12 by an command?

Best regards
MartinF

Code: Select all

m.x12 mx12

but see the Command Reference for a long list of options


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