Trading Day Data Format Error

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BretBertolin
Posts: 8
Joined: Sun Jan 09, 2011 4:52 pm

Trading Day Data Format Error

Postby BretBertolin » Mon May 23, 2016 10:22 am

I created a user defined trading day variable called "Fridays." Most observations are zeroes but it also can also be a -1 or +1. When I seasonally adjust with this variable as a trading day variable I get nonsense as a result (I have a very good idea what the regression results should look like. Here is the spec file that is created:

1: series{
2: title = "QCEW"
3: start = 1975.1
4: period = 4
5: modelspan = (1975.01, 2015.03)
6: name = "QCEW"
7: file = "C:\Users\bpbts104\AppData\ev_temp\EVX13TMP.DAT"
8: decimals = 1
9: }
10: transform{
11: power = 0
12: }
13: arima{
14: model = (0, 1, 0)(0, 1, 0)
15: }
16: regression{
17: user = ("fridays")
18: file = "C:\Users\bpbts104\AppData\ev_temp\EVX13TMP.VAR"
19: format = "free"
20: usertype = (td)
21: }
22: x11{
23: save = (d11)
24: }

I have isolated the problem. Eviews creates a data file called EVX13TMP.VAR with the Fridays data. Note in the spec file that the format is "free." A "free" format should have only data, no dates. However, Eviews creates a file that looks like this:

1975.03 0
1975.04 0
1976.01 0
1976.02 0
1976.03 0
1976.04 1
1977.01 -1
1977.02 0

X13 then interprets those dates as data so the series looks like this 1975.03, 0, 1975.04, 0, etc.

The allowed formats are listed in 7.13, "format", a-f of docx13as.pdf. The format Eviews creates matches none of those listed although it is close to the "datevalue format except that there should be a space between the year and the month or quarter instead of a decimal point.

EViews Jason
EViews Developer
Posts: 767
Joined: Tue Sep 16, 2008 3:50 pm

Re: Trading Day Data Format Error

Postby EViews Jason » Mon May 23, 2016 4:26 pm

We were unaware of the different input file formats. EViews has always written files with the dates and data. We will look into the issue and see what can be done.

BretBertolin
Posts: 8
Joined: Sun Jan 09, 2011 4:52 pm

Re: Trading Day Data Format Error

Postby BretBertolin » Tue May 24, 2016 10:09 am

Actually, Eviews has not always written the data files used in the seasonal adjustment program with dates. Eviews correctly formats the data file referenced by the series spec without dates. In the series spec in the example I gave you before, that file was : file = "C:\Users\bpbts104\AppData\ev_temp\EVX13TMP.DAT" and its first few elements looked like this:

160667039
166322163
169794621
183229504

No dates, just data. To be clear, this file was also created by Eviews as an input to the Census program. The problem evidently arose when Eviews added the ability to have user defined variables in ARIMA regression. All that is needed to fix this is write the file referenced in the regression spec in the same format as the file referenced in the series spec. The allowed formats for the regression spec data file are also listed in 7.13, "format", in docx13as.pdf.

BTW, I think I know the source of the confusion. Date arguments in specs (as opposed to data files) are indeed written year.month or year.quarter.

I think it might prove useful to discuss this directly. If you could send an email to bretb@dor.wa.gov I would be glad to provide my number.


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