CODEWITHSUNDEEP
rseasonal-adjustment
Pedro Trench
Pedro Trench

Reputation: 3

How can I specify the seasonal filter I want?

I'm trying to replicate a specification that uses a 3x9 seasonal filter. However, when I use udg() in the following object:

sa <- seas(x = ts(pib_headline_nsa_ts, start = c(2005, 1), end = c(2024,2), frequency = 4), 
arima.model="(0 1 0)(0 1 1)", x11 = "", transform.function = "log", regression.aictest = c("easter"), outlier.types = 'NULL', forecast = c(maxlead = 6, maxback = 0))

The algorithm uses a 3x5 specification. Which parameter should I change to specify a 3x9 filter instead of automatic selection? I suppose it is in the x11 parameter, but I couldnt find information in any manual.

Upvotes: 0

Views: 29

Answers (1)

Edward
Edward

Reputation: 19339

You can try specifying x11.seasonalma = "S3X5" in the call:

library(seasonal)

sa <- seas(x = ts(pib_headline_nsa_ts, 
  start = c(2005, 1), 
  end = c(2024,2), 
  frequency = 4), 
  arima.model="(0 1 0)(0 1 1)", 
  x11.seasonalma = "S3X5",  ## <----------- HERE
  transform.function = "log", 
  regression.aictest = c("easter"), 
  outlier.types = 'NULL', 
  forecast = c(maxlead = 6, maxback = 0))

For example, using the AirPassengers dataset:

seas(AirPassengers, x11.seasonalma = "S3X5", arima.model = "(0 1 1)")
Call:
seas(x = AirPassengers, x11.seasonalma = "S3X5", arima.model = "(0 1 1)")

Coefficients:
          Weekday  MA-Nonseasonal-01  
        -0.003206          -0.325804

Upvotes: 0

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