Halcyon: an enhancement of X-13ARIMA-SEATS 2023年2月23日
Our enhanced X-13ARIMA-SEATS can factorise trend-cycle series into trend and cycle; x11: d12 into ltt and cyc, composite: itn into txx and xcx, as well as seats in original version: s12 into ltt and cyc.
Trend models currently built in are (1) Hodrick-Prescott filter within SEATS, (2) classic H-P taken from http://dge.repec.org/codes/prescott/hpfilter.for, and (3) Phase Average Trend. These options are not final, but the author added argument \(\mathtt{trendmodel}\) in hopes of trend extraction of smaller or quicker revisions to be built in.
Original version factorises s11, or trend-cycle-irregular (TCI) into ltt and cyc, when \(\mathtt{hptarget=sadj}\) is selected. Default and \(\mathtt{hptarget=sadjastc}\) are as well. When \(\mathtt{hptarget=sadjastci}\), TCI’s are factorised into ltt and cyi, or trend and cycle-irregular.
\(\mathtt{ seats\lbrace}\)
\(\mathtt{\sharp\ Extraction\ of\ trend\ factor\ from\ SEATS\ series}\)
\(\mathtt{\ \ \ \ \ \ hptarget=[\ TREND\ |\ sadjastci\ |\ orig\ |\ sadjastc\ |\ sadj\ ]}\)
\(\mathtt{\ \ \ \ \ \ trendmodel=[\ HPINSEATS\ |\ classichp\ |\ phaseavgtrend\ ]}\)
\(\mathtt{\ \ \ \ \ \ \rbrace}\)
Major series which contain trend factor are; CMS: original, ISA: trend-cycle-irregular (and -transitory for components from SEATS), ITN: trend-cycle, Txx: trend. Original version generates CMS and ISA as accumulation of components, ITN as calculated from the composite series ISA. This would be get as default or \(\mathtt{trendlevel=calculate}\).
The author has been applying that composites of the series containing trend factor as accumulations of components. The argument \(\mathtt{trendlevel=accumulate}\) derives CMS, ISA, ITN, and Txx as accumulations.
\(\mathtt{ composite\lbrace}\)
\(\mathtt{\sharp\ Extraction\ of\ trend\ factor\ from\ composite\ series}\)
\(\mathtt{\ \ \ \ \ \ hpcycle=[\ yes\ |\ NO\ ]}\)
\(\mathtt{\ \ \ \ \ \ hplan=positive\ value\ for\ smoothing\ parameter\ (default:\ computed\ by\ the\ program)}\)
\(\mathtt{\ \ \ \ \ \ hprmls=[\ yes\ |\ NO\ ]}\)
\(\mathtt{\ \ \ \ \ \ hptarget=[\ TREND\ |\ sadjastci\ |\ orig\ |\ sadjastc\ |\ sadj\ ]}\)
\(\mathtt{\ \ \ \ \ \ trendmodel=[\ HPINSEATS\ |\ classichp\ |\ phaseavgtrend\ ]}\)
\(\mathtt{\sharp\ Series\ containing\ trend\ factor\ (tables\ itn\ and\ txx)}\)
\(\mathtt{\ \ \ \ \ \ trendlevel=[\ accumulate\ |\ CALCULATE\ ]}\)
\(\mathtt{\ \ \ \ \ \ \rbrace}\)
\(\mathtt{ x11\lbrace}\)
\(\mathtt{\sharp\ Extraction\ of\ trend\ factor\ from\ X11\ series}\)
\(\mathtt{\ \ \ \ \ \ hpcycle=[\ yes\ |\ NO\ ]}\)
\(\mathtt{\ \ \ \ \ \ hplan=positive\ value\ for\ smoothing\ parameter\ (default:\ computed\ by\ the\ program)}\)
\(\mathtt{\ \ \ \ \ \ hprmls=[\ yes\ |\ NO\ ]}\)
\(\mathtt{\ \ \ \ \ \ hptarget=[\ TREND\ |\ sadjastci\ |\ orig\ |\ sadjastc\ |\ sadj\ ]}\)
\(\mathtt{\ \ \ \ \ \ trendmodel=[\ HPINSEATS\ |\ classichp\ |\ phaseavgtrend\ ]}\)
\(\mathtt{\ \ \ \ \ \ \rbrace}\)