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
Seasonal Adjustment
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-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Seasonal Adjustment
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
Re: Seasonal Adjustment
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
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
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Seasonal Adjustment
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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