悬赏 2 个论坛币 未解决
我的论文搞不定了，请高手帮忙啊，急，回答的好加钱，谢谢啦
1.我建立了一个期货每月的价格序列close,然后建立new object-->equation "y @seas(1) @seas(2) @seas(3) @seas(4) @seas(5) @seas(6) @seas(7) @seas(8) @seas(9) @seas(10) @seas(11) @seas(12)' 得出下面的结果，请问到底季节性存在么？具体表现在几月？
Dependent Variable: CLOSE
Method: Least Squares
Date: 08/25/10 Time: 04:28
Sample: 1993M08 2008M07
Included observations: 180
Variable Coefficient Std. Error t-Statistic Prob.
@SEAS(1) 64.37733 3.366014 19.12569 0.0000
@SEAS(2) 64.53400 3.366014 19.17223 0.0000
@SEAS(3) 65.83600 3.366014 19.55904 0.0000
@SEAS(4) 64.40133 3.366014 19.13282 0.0000
@SEAS(5) 63.96600 3.366014 19.00348 0.0000
@SEAS(6) 63.84000 3.366014 18.96605 0.0000
@SEAS(7) 62.70267 3.366014 18.62816 0.0000
@SEAS(8) 61.17800 3.366014 18.17521 0.0000
@SEAS(9) 62.56600 3.366014 18.58756 0.0000
@SEAS(10) 62.54467 3.366014 18.58122 0.0000
@SEAS(11) 62.49267 3.366014 18.56578 0.0000
@SEAS(12) 62.82267 3.366014 18.66382 0.0000
R-squared 0.009204 Mean dependent var 63.43844
Adjusted R-squared -0.055670 S.D. dependent var 12.68813
S.E. of regression 13.03652 Akaike info criterion 8.037726
Sum squared resid 28551.73 Schwarz criterion 8.250590
Log likelihood -711.3954 Durbin-Watson stat 0.055307
2. 我用x12做出个报告，里面好像是说季节性 f-test Seasonality present at the 0.1 per cent level，到底是哪个月，相对于其他月份，可以看出来季节性存在啊？具体看哪个数？
WARNING: At least one visually significant trading day peak has been
found in one or more of the estimated spectra.
Reading input spec file from C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.spc
Reading data from C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.DAT
1
U. S. Department of Commerce, U. S. Census Bureau
X-12-ARIMA monthly seasonal adjustment Method,
Release Version 0.2.9
This method modifies the X-11 variant of Census Method II
by J. Shiskin A.H. Young and J.C. Musgrave of February, 1967.
and the X-11-ARIMA program based on the methodological research
developed by Estela Bee Dagum, Chief of the Seasonal Adjustment
and Time Series Staff of Statistics Canada, September, 1979.
Primary Programmers: Brian Monsell, Mark Otto
Series Title- CLOSE
Series Name- CLOSE
08/25/10 03:15:12.34
-Period covered- 8th month,1990 to 7th month,2010
-Type of run - auto-mode seasonal adjustment
-Sigma limits for graduating extreme values are 1.5 and 2.5 .
-3x3 moving average used in section 1 of each iteration,
3x5 moving average in section 2 of iterations B and C,
moving average for final seasonal factors chosen by Global MSR.
-Spectral plots generated for selected series
-Spectral plots generated for series starting in 2002.Aug
FILE SAVE REQUESTS (* indicates file exists and will be overwritten)
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d10 final seasonal factors
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d11 final seasonally adjusted data
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d12 final trend cycle
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.d13 final irregular component
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.out program output file
C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.err program error file
CLOSE PAGE 1, SERIES CLOSE
Contents of spc file C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.spc
Line #
------
1: series{
2: title = "CLOSE"
3: start = 1990.8
4: name = "CLOSE"
5: file = "C:\DOCUME~1\ADMINI~1\LOCALS~1\Temp\EVX12TMP.DAT"
6: }
7:
8: transform{
9: function=auto
10: }
11:
12: regression{
13: variables=(const seasonal )
14: }
15:
16: history{ }
17:
18: x11{
19: sigmalim = (1.5,2.5)
20: print = ( +ftestd8 +residualseasf +x11diag +qstat +specsa +specirr)
21: save = ( D10 D11 D12 D13)
22: savelog = (q,q2,fb1,fd8,msf)
23: }
24:
Likelihood statistics for model fit to untransformed series.
Likelihood Statistics
------------------------------------------------------------------
Effective number of observations (nefobs) 240
Number of parameters estimated (np) 13
Log likelihood (L) -1613.0787
AIC 3252.1574
AICC (F-corrected-AIC) 3253.7680
Hannan Quinn 3270.3891
BIC 3297.4057
------------------------------------------------------------------
Likelihood statistics for model fit to log transformed series.
Likelihood Statistics
------------------------------------------------------------------
Effective number of observations (nefobs) 240
Number of parameters estimated (np) 13
Log likelihood -12.7124
Transformation Adjustment -1555.7643
Adjusted Log likelihood (L) -1568.4768
AIC 3162.9536
AICC (F-corrected-AIC) 3164.5642
Hannan Quinn 3181.1853
BIC 3208.2019
------------------------------------------------------------------
***** AICC (with aicdiff=-2.00) prefers log transformation *****
***** Multiplicative seasonal adjustment will be performed. ****
CLOSE PAGE 2, SERIES CLOSE
A 1 Time series data (for the span analyzed)
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
634. 647. 639. 607. 611. 3139.
1991 592. 601. 606. 613. 592. 584.
555. 590. 611. 584. 574. 571. 7072.
1992 584. 594. 608. 593. 616. 627.
579. 557. 563. 555. 571. 581. 7029.
1993 586. 580. 593. 602. 606. 608.
708. 677. 649. 629. 668. 682. 7587.
1994 689. 671. 669. 640. 658. 666.
591. 581. 580. 566. 581. 581. 7474.
1995 569. 575. 591. 597. 596. 608.
632. 617. 654. 673. 687. 719. 7520.
1996 733. 734. 730. 788. 793. 757.
769. 785. 802. 714. 691. 687. 8983.
1997 717. 739. 784. 773. 767. 713.
654. 651. 656. 695. 722. 693. 8564.
1998 670. 673. 651. 631. 629. 614.
605. 552. 547. 570. 591. 573. 7307.
1999 541. 503. 494. 503. 483. 476.
442. 485. 509. 505. 483. 478. 5902.
2000 509. 524. 538. 557. 562. 512.
472. 481. 515. 496. 502. 520. 6188.
2001 489. 464. 455. 436. 440. 455.
505. 500. 481. 451. 451. 443. 5570.
2002 442. 445. 468. 467. 474. 488.
535. 548. 565. 543. 552. 546. 6072.
2003 549. 552. 547. 567. 594. 588.
547. 556. 612. 690. 713. 726. 7241.
2004 765. 780. 867. 852. 803. 733.
672. 599. 579. 541. 545. 550. 8285.
2005 530. 538. 635. 623. 635. 693.
690. 627. 577. 575. 574. 589. 7286.
2006 582. 583. 579. 569. 592. 589.
591. 555. 542. 593. 664. 662. 7102.
2007 696. 757. 754. 736. 771. 824.
853. 841. 946. 975. 1059. 1151. 10363.
2008 1257. 1383. 1349. 1314. 1331. 1504.
1508. 1282. 1192. 922. 896. 868. 14805.
2009 993. 929. 908. 1019. 1149. 1211.
1083. 1100. 949. 966. 1009. 1032. 12349.
2010 978. 937. 950. 973. 950. 948.
1010. 6747.
AVGE 673. 678. 689. 693. 702. 710.
700. 661. 659. 644. 657. 663.
Table Total- 162583.79 Mean- 677.43 Std. Dev.- 201.80
Min - 435.91 Max - 1508.15
MODEL DEFINITION
Transformation
Log(y)
Regression Model
Constant + Seasonal
ARIMA Model
(0 0 0)
regARIMA Model Span
From 1990.Aug to 2010.Jul
MODEL ESTIMATION/EVALUATION
Exact ARMA likelihood estimation
Max total ARMA iterations 200
Max ARMA iter's w/in an IGLS iterati 40
Convergence tolerance 1.00E-05
Average absolute percentage error in within-sample forecasts:
Last year: 33.38 Last-1 year: 36.01 Last-2 year: 44.72
Last three years: 38.04
Regression Model
------------------------------------------------------------------
Parameter Standard
Variable Estimate Error t-value
------------------------------------------------------------------
Constant 6.4824 0.01647 393.61
Seasonal
Jan -0.0049 0.05462 -0.09
Feb -0.0017 0.05462 -0.03
Mar 0.0163 0.05462 0.30
Apr 0.0198 0.05462 0.36
May 0.0313 0.05462 0.57
Jun 0.0349 0.05462 0.64
Jul 0.0210 0.05462 0.38
Aug -0.0237 0.05462 -0.43
Sep -0.0208 0.05462 -0.38
Oct -0.0377 0.05462 -0.69
Nov -0.0205 0.05462 -0.37
*Dec (derived) -0.0141 0.05462 -0.26
------------------------------------------------------------------
*For full trading-day and stable seasonal effects, the derived
parameter estimate is obtained indirectly as minus the sum
of the directly estimated parameters that define the effect.
Chi-squared Tests for Groups of Regressors
------------------------------------------------------------------
Regression Effect df Chi-Square P-Value
------------------------------------------------------------------
Seasonal 11 1.95 1.00
------------------------------------------------------------------
ARIMA Model: (0,0,0)
Parameter Value (fixed)
-------------------------------------
Variance 0.65093E-01
Likelihood Statistics
------------------------------------------------------------------
Effective number of observations (nefobs) 240
Number of parameters estimated (np) 13
Log likelihood -12.7124
Transformation Adjustment -1555.7643
Adjusted Log likelihood (L) -1568.4768
AIC 3162.9536
AICC (F-corrected-AIC) 3164.5642
Hannan Quinn 3181.1853
BIC 3208.2019
------------------------------------------------------------------
FORECASTING
Origin 2010.Jul
Number 12
Forecasts and Standard Errors of the Transformed Data
------------------------------
Standard
Date Forecast Error
------------------------------
2010.Aug 6.46 0.261
2010.Sep 6.46 0.261
2010.Oct 6.44 0.261
2010.Nov 6.46 0.261
2010.Dec 6.47 0.261
2011.Jan 6.48 0.261
2011.Feb 6.48 0.261
2011.Mar 6.50 0.261
2011.Apr 6.50 0.261
2011.May 6.51 0.261
2011.Jun 6.52 0.261
2011.Jul 6.50 0.261
------------------------------
Confidence intervals with coverage probability (0.95000)
On the Original Scale
---------------------------------------
Date Lower Forecast Upper
---------------------------------------
2010.Aug 382.30 638.17 1065.29
2010.Sep 383.43 640.05 1068.43
2010.Oct 377.01 629.34 1050.55
2010.Nov 383.56 640.28 1068.81
2010.Dec 386.02 644.39 1075.67
2011.Jan 389.58 650.32 1085.57
2011.Feb 390.83 652.40 1089.05
2011.Mar 397.92 664.24 1108.82
2011.Apr 399.31 666.57 1112.70
2011.May 403.95 674.31 1125.62
2011.Jun 405.38 676.71 1129.62
2011.Jul 399.80 667.38 1114.05
---------------------------------------
CLOSE PAGE 3, SERIES CLOSE
B 1 Original series (prior adjusted)
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
634. 647. 639. 607. 611. 3139.
1991 592. 601. 606. 613. 592. 584.
555. 590. 611. 584. 574. 571. 7072.
1992 584. 594. 608. 593. 616. 627.
579. 557. 563. 555. 571. 581. 7029.
1993 586. 580. 593. 602. 606. 608.
708. 677. 649. 629. 668. 682. 7587.
1994 689. 671. 669. 640. 658. 666.
591. 581. 580. 566. 581. 581. 7474.
1995 569. 575. 591. 597. 596. 608.
632. 617. 654. 673. 687. 719. 7520.
1996 733. 734. 730. 788. 793. 757.
769. 785. 802. 714. 691. 687. 8983.
1997 717. 739. 784. 773. 767. 713.
654. 651. 656. 695. 722. 693. 8564.
1998 670. 673. 651. 631. 629. 614.
605. 552. 547. 570. 591. 573. 7307.
1999 541. 503. 494. 503. 483. 476.
442. 485. 509. 505. 483. 478. 5902.
2000 509. 524. 538. 557. 562. 512.
472. 481. 515. 496. 502. 520. 6188.
2001 489. 464. 455. 436. 440. 455.
505. 500. 481. 450. 451. 443. 5570.
2002 442. 445. 468. 467. 474. 488.
535. 548. 565. 543. 552. 546. 6072.
2003 549. 552. 547. 567. 594. 588.
547. 556. 612. 690. 713. 726. 7241.
2004 765. 780. 867. 852. 803. 733.
672. 599. 579. 541. 545. 550. 8285.
2005 530. 538. 635. 623. 635. 693.
690. 627. 577. 575. 574. 589. 7286.
2006 582. 583. 579. 569. 592. 589.
591. 555. 542. 593. 664. 662. 7102.
2007 696. 757. 754. 736. 771. 824.
853. 841. 946. 975. 1059. 1151. 10363.
2008 1257. 1383. 1349. 1314. 1331. 1504.
1508. 1282. 1192. 922. 896. 868. 14805.
2009 993. 929. 908. 1019. 1149. 1211.
1083. 1100. 949. 966. 1009. 1032. 12349.
2010 978. 937. 950. 973. 950. 948.
1010. 6747.
AVGE 673. 678. 689. 693. 702. 710.
700. 661. 659. 644. 657. 663.
Table Total- 162583.79 Mean- 677.43 Std. Dev.- 201.80
Min - 435.91 Max - 1508.15
B 1.A Forecasts of (prior adjusted) original series
From 2010.Aug to 2011.Jul
Observations 12
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
2010
638. 640. 629. 640. 644. 3192.
2011 650. 652. 664. 667. 674. 677.
667. 4652.
CLOSE PAGE 4, SERIES CLOSE
C 17 Final weights for irregular component
From 1990.Aug to 2010.Jul
Observations 240
Lower sigma limit 1.50
Upper sigma limit 2.50
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec S.D.
-----------------------------------------------------------------------------
1990
100.0 100.0 100.0 100.0 100.0 1.7
1991 100.0 100.0 100.0 54.3 100.0 100.0
45.6 100.0 0.0 100.0 100.0 100.0 1.7
1992 100.0 100.0 100.0 100.0 100.0 0.0
100.0 100.0 100.0 100.0 100.0 100.0 1.7
1993 100.0 100.0 100.0 100.0 90.6 80.6
0.0 0.0 100.0 0.0 100.0 100.0 1.8
1994 100.0 100.0 100.0 100.0 100.0 0.0
100.0 100.0 100.0 100.0 100.0 100.0 2.2
1995 100.0 100.0 100.0 100.0 100.0 100.0
100.0 100.0 100.0 100.0 100.0 100.0 2.5
1996 100.0 100.0 100.0 100.0 100.0 100.0
100.0 97.0 6.3 100.0 0.0 34.9 2.6
1997 100.0 100.0 85.2 100.0 100.0 100.0
100.0 100.0 100.0 100.0 100.0 100.0 2.9
1998 100.0 100.0 100.0 100.0 100.0 100.0
100.0 100.0 27.7 100.0 100.0 100.0 3.1
1999 100.0 100.0 100.0 100.0 100.0 100.0
0.0 100.0 100.0 100.0 100.0 100.0 2.9
2000 100.0 100.0 100.0 100.0 100.0 100.0
25.5 100.0 100.0 100.0 100.0 53.6 2.8
2001 100.0 100.0 100.0 43.8 52.6 100.0
0.0 0.0 100.0 100.0 100.0 100.0 3.0
2002 100.0 100.0 100.0 100.0 100.0 100.0
100.0 100.0 100.0 100.0 100.0 100.0 2.9
2003 100.0 100.0 100.0 100.0 100.0 100.0
42.0 93.6 100.0 19.8 100.0 100.0 2.9
2004 100.0 100.0 84.4 38.0 100.0 100.0
100.0 100.0 100.0 100.0 100.0 100.0 2.9
2005 100.0 100.0 48.8 100.0 100.0 100.0
100.0 100.0 56.0 100.0 100.0 100.0 2.9
2006 100.0 100.0 100.0 100.0 100.0 100.0
100.0 100.0 85.3 100.0 91.8 100.0 3.4
2007 100.0 100.0 100.0 100.0 100.0 100.0
100.0 100.0 100.0 100.0 100.0 100.0 3.8
2008 100.0 100.0 100.0 100.0 67.9 100.0
80.2 100.0 67.1 11.1 74.5 100.0 3.7
2009 15.9 100.0 71.9 100.0 66.5 100.0
100.0 100.0 100.0 100.0 100.0 100.0 3.5
2010 100.0 100.0 100.0 100.0 100.0 100.0
0.0 3.5
CLOSE PAGE 5, SERIES CLOSE
D 8 Final unmodified SI ratios
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
97.3 100.6 100.9 97.4 99.9 99.2
1991 98.2 100.9 102.6 104.3 101.1 99.7
94.7 100.7 104.1 99.7 98.3 98.0 100.2
1992 100.0 101.3 102.9 99.9 103.9 106.7
99.6 96.8 98.6 97.4 100.1 101.2 100.7
1993 101.6 99.9 101.3 101.3 99.9 97.9
111.4 104.2 98.1 93.9 99.1 101.0 100.8
1994 102.3 100.4 101.6 98.9 104.0 107.7
97.7 97.8 99.1 97.7 100.8 101.2 100.8
1995 99.3 100.2 102.3 102.0 100.0 99.7
101.1 96.0 98.8 99.0 98.8 101.3 99.9
1996 101.4 100.2 98.5 104.6 103.6 97.6
98.5 101.2 105.1 95.4 94.1 94.4 99.5
1997 98.2 100.2 105.4 104.1 105.0 99.9
93.7 94.7 95.8 101.2 104.9 101.1 100.4
1998 99.3 102.0 100.9 99.8 101.2 100.3
100.4 92.7 93.2 98.9 104.7 104.2 99.8
1999 101.3 97.4 98.9 102.8 99.5 97.6
89.9 98.3 103.4 103.0 98.4 96.4 98.9
2000 100.3 100.2 100.4 102.8 104.5 97.2
92.0 95.7 103.6 100.1 101.4 105.7 100.3
2001 100.9 97.6 97.8 94.9 96.3 99.5
109.8 108.8 105.1 99.2 100.2 98.9 100.7
2002 98.7 98.8 102.6 100.0 98.1 97.1
102.4 101.7 102.5 97.5 99.1 98.6 99.8
2003 99.4 100.0 98.9 102.3 106.8 104.4
94.7 92.5 96.6 102.8 100.1 96.8 99.6
2004 98.2 98.2 109.3 109.6 107.3 103.1
100.1 94.4 95.9 93.3 96.9 99.4 100.5
2005 96.3 96.5 110.6 104.4 102.4 108.4
106.1 96.7 90.3 92.1 94.7 99.7 99.9
2006 100.5 102.2 102.6 101.6 106.3 105.6
104.4 95.4 89.9 94.1 100.8 96.6 100.0
2007 98.6 105.0 103.5 100.0 102.7 106.0
103.8 95.2 98.6 93.4 93.7 95.5 99.7
2008 99.4 106.0 101.4 97.7 98.6 112.0
114.6 101.3 99.8 83.2 87.2 89.8 99.2
2009 105.8 98.9 94.7 103.4 113.9 118.0
104.1 104.4 89.2 90.2 94.4 97.6 101.2
2010 94.6 93.8 99.3 106.7 109.6 115.2
129.2 106.9
AVGE 99.7 100.0 101.8 102.1 103.2 103.7
102.4 98.3 98.4 96.7 98.3 98.9
Table Total- 24066.11 Mean- 100.28 Std. Dev.- 5.11
Min - 83.20 Max - 129.21
CLOSE PAGE 6, SERIES CLOSE
D 8.A F-tests for seasonality
Test for the presence of seasonality assuming stability.
Sum of Dgrs.of Mean
Squares Freedom Square F-Value
Between months 1146.2187 11 104.20170 4.660**
Residual 5098.5797 228 22.36219
Total 6244.7984 239
**Seasonality present at the 0.1 per cent level.
Nonparametric Test for the Presence of Seasonality Assuming Stability
Kruskal-Wallis Degrees of Probability
Statistic Freedom Level
43.6316 11 0.001%
Seasonality present at the one percent level.
Moving Seasonality Test
Sum of Dgrs.of Mean
Squares Freedom Square F-value
Between Years 526.7540 18 29.264110 3.744**
Error 1547.6045 198 7.816184
**Moving seasonality present at the one percent level.
COMBINED TEST FOR THE PRESENCE OF IDENTIFIABLE SEASONALITY
IDENTIFIABLE SEASONALITY NOT PRESENT
CLOSE PAGE 7, SERIES CLOSE
D 9 Final replacement values for SI ratios
From 1990.Aug to 2010.Jul
Observations 240
---------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec
---------------------------------------------------------------
1990
******** ******** ******** ******** ********
1991 ******** ******** ******** 102.7 ******** ********
96.6 ******** 99.6 ******** ******** ********
1992 ******** ******** ******** ******** ******** 100.1
******** ******** ******** ******** ******** ********
1993 ******** ******** ******** ******** 100.2 98.4
99.9 99.7 ******** 98.7 ******** ********
1994 ******** ******** ******** ******** ******** 99.7
******** ******** ******** ******** ******** ********
1995 ******** ******** ******** ******** ******** ********
******** ******** ******** ******** ******** ********
1996 ******** ******** ******** ******** ******** ********
******** 101.1 99.2 ******** 101.0 98.0
1997 ******** ******** 104.7 ******** ******** ********
******** ******** ******** ******** ******** ********
1998 ******** ******** ******** ******** ******** ********
******** ******** 98.2 ******** ******** ********
1999 ******** ******** ******** ******** ******** ********
97.3 ******** ******** ******** ******** ********
2000 ******** ******** ******** ******** ******** ********
96.7 ******** ******** ******** ******** 103.1
2001 ******** ******** ******** 98.4 99.1 ********
100.9 99.9 ******** ******** ******** ********
2002 ******** ******** ******** ******** ******** ********
******** ******** ******** ******** ******** ********
2003 ******** ******** ******** ******** ******** ********
98.3 92.8 ******** 97.6 ******** ********
2004 ******** ******** 108.6 105.7 ******** ********
******** ******** ******** ******** ******** ********
2005 ******** ******** 107.5 ******** ******** ********
******** ******** 92.7 ******** ******** ********
2006 ******** ******** ******** ******** ******** ********
******** ******** 90.7 ******** 100.3 ********
2007 ******** ******** ******** ******** ******** ********
******** ******** ******** ******** ******** ********
2008 ******** ******** ******** ******** 100.9 ********
113.2 ******** 97.8 90.4 88.8 ********
2009 99.0 ******** 96.5 ******** 111.5 ********
******** ******** ******** ******** ******** ********
2010 ******** ******** ******** ******** ******** ********
109.8
D 9.A Moving seasonality ratio
---------------------------------------------------------------
Jan Feb Mar Apr May Jun
---------------------------------------------------------------
I 1.759 2.369 2.769 2.623 3.520 2.482
S 0.229 0.399 0.516 0.341 0.478 0.891
RATIO 7.665 5.936 5.369 7.684 7.367 2.787
---------------------------------------------------------------
Jul Aug Sep Oct Nov Dec
---------------------------------------------------------------
I 3.375 3.189 2.312 2.113 2.634 3.132
S 0.708 0.543 0.640 0.613 0.672 0.506
RATIO 4.764 5.871 3.613 3.448 3.920 6.193
CLOSE PAGE 8, SERIES CLOSE
D 10 Final seasonal factors
From 1990.Aug to 2010.Jul
Observations 240
Seasonal filter 3 x 5 moving average
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
98.5 99.4 99.2 98.7 99.9 99.1
1991 100.3 100.7 102.2 101.0 102.1 99.5
98.6 98.5 99.3 99.1 98.9 100.1 100.0
1992 100.3 100.6 102.2 100.9 102.1 99.5
98.7 98.4 99.1 98.9 99.1 100.3 100.0
1993 100.6 100.5 101.8 101.0 102.2 99.4
98.9 98.3 99.0 98.3 99.5 100.4 100.0
1994 100.6 100.4 101.7 101.5 102.3 99.2
98.8 98.1 98.6 98.2 100.1 100.5 100.0
1995 100.5 100.4 101.5 101.9 102.6 99.2
98.6 97.5 98.4 98.1 101.0 100.7 100.0
1996 100.2 100.3 101.5 102.3 102.4 99.2
98.2 96.9 98.5 98.8 101.5 100.6 100.0
1997 100.1 100.3 101.1 102.5 102.4 99.0
97.9 96.5 99.1 99.2 101.9 100.7 100.1
1998 100.1 99.9 100.8 102.3 102.1 98.8
97.7 96.4 100.1 99.9 101.9 100.6 100.1
1999 100.2 99.6 100.4 101.7 101.7 98.6
98.2 96.8 101.3 100.0 101.7 100.6 100.1
2000 100.1 99.2 100.1 101.1 101.3 98.8
98.9 97.3 102.1 99.9 100.9 99.9 100.0
2001 99.8 98.9 100.4 101.3 101.8 99.3
99.5 97.6 102.0 99.0 100.1 99.4 99.9
2002 99.3 98.5 101.4 101.8 102.6 100.8
100.3 97.4 100.6 97.7 99.2 98.8 99.9
2003 98.7 98.6 102.8 102.3 103.5 102.3
101.3 96.9 98.4 96.2 98.7 98.7 99.9
2004 98.5 99.0 103.7 102.6 104.1 104.1
102.3 96.2 96.4 95.0 97.9 98.1 99.8
2005 98.5 100.2 104.2 102.5 104.4 105.5
103.6 96.0 95.3 94.0 96.9 97.4 99.9
2006 98.6 101.1 103.6 101.9 104.6 107.6
104.9 96.8 94.7 93.1 95.7 96.6 99.9
2007 98.6 101.3 102.3 101.6 104.9 109.5
106.4 98.2 94.2 92.3 94.6 95.7 100.0
2008 98.2 100.9 101.0 101.8 105.8 111.3
107.4 99.5 93.7 91.7 93.7 95.0 100.0
2009 97.6 100.0 100.1 102.3 106.7 112.6
108.5 100.3 93.3 91.2 92.9 94.3 100.0
2010 97.1 98.9 99.6 103.1 107.6 113.6
109.0 104.1
AVGE 99.4 100.0 101.6 101.9 103.4 102.9
101.4 97.6 98.2 97.0 98.7 98.9
Table Total- 24017.71 Mean- 100.07 Std. Dev.- 3.20
Min - 91.15 Max - 113.61
D 10.A Final seasonal component forecasts
From 2010.Aug to 2011.Jul
Observations 12
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
2010
100.9 93.1 90.7 92.2 94.0 94.2
2011 96.8 98.1 99.3 103.6 108.4 114.2
109.1 104.2
CLOSE PAGE 9, SERIES CLOSE
D 11 Final seasonally adjusted data
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
643. 651. 644. 615. 612. 3166.
1991 590. 597. 593. 607. 580. 587.
563. 599. 615. 589. 581. 571. 7071.
1992 582. 591. 595. 587. 603. 630.
587. 566. 569. 562. 577. 579. 7028.
1993 583. 577. 583. 596. 593. 611.
716. 689. 655. 639. 671. 679. 7592.
1994 685. 668. 658. 630. 644. 671.
598. 592. 588. 577. 580. 579. 7470.
1995 566. 573. 582. 586. 581. 613.
642. 633. 664. 686. 681. 714. 7521.
1996 731. 731. 720. 771. 775. 763.
783. 810. 814. 722. 681. 682. 8984.
1997 716. 737. 775. 754. 749. 721.
668. 675. 662. 700. 708. 688. 8554.
1998 670. 674. 646. 617. 616. 622.
619. 572. 546. 571. 580. 570. 7303.
1999 540. 505. 492. 495. 475. 483.
450. 501. 503. 505. 475. 475. 5898.
2000 508. 528. 538. 551. 555. 518.
477. 495. 505. 496. 498. 521. 6189.
2001 490. 469. 454. 430. 432. 458.
507. 513. 472. 455. 451. 446. 5577.
2002 446. 452. 461. 459. 462. 484.
533. 563. 561. 556. 556. 553. 6086.
2003 556. 560. 532. 554. 575. 575.
540. 574. 621. 717. 723. 736. 7263.
2004 777. 788. 836. 830. 771. 704.
657. 623. 601. 569. 557. 560. 8272.
2005 539. 537. 609. 608. 608. 657.
666. 653. 605. 611. 592. 605. 7290.
2006 591. 577. 559. 558. 566. 548.
564. 573. 573. 637. 694. 685. 7124.
2007 707. 747. 737. 724. 735. 753.
802. 856. 1005. 1057. 1119. 1204. 10444.
2008 1280. 1370. 1336. 1291. 1258. 1352.
1405. 1289. 1272. 1005. 956. 914. 14727.
2009 1017. 929. 907. 996. 1077. 1076.
999. 1096. 1017. 1059. 1086. 1094. 12355.
2010 1007. 948. 954. 944. 883. 835.
926. 6497.
AVGE 679. 678. 678. 679. 677. 683.
685. 676. 675. 668. 669. 673.
Table Total- 162408.49 Mean- 676.70 Std. Dev.- 197.87
Min - 430.50 Max - 1404.89
Test for the presence of residual seasonality.
No evidence of residual seasonality in the entire series at the
1 per cent level. F = 0.10
No evidence of residual seasonality in the last 3 years at the
1 per cent level. F = 0.09
No evidence of residual seasonality in the last 3 years at the
5 per cent level.
Note: sudden large changes in the level of the adjusted series will
invalidate the results of this test for the last three year period.
CLOSE PAGE 10, SERIES CLOSE
D 12 Final trend cycle
From 1990.Aug to 2010.Jul
Observations 240
Trend filter 13-term Henderson moving average
I/C ratio 1.11
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec TOTAL
-----------------------------------------------------------------------------
1990
650. 642. 633. 622. 611. 3158.
1991 602. 595. 591. 588. 587. 587.
587. 587. 586. 584. 583. 582. 7058.
1992 583. 587. 592. 594. 593. 589.
582. 575. 571. 570. 571. 575. 6982.
1993 578. 581. 585. 593. 605. 619.
635. 649. 662. 671. 676. 677. 7532.
1994 674. 668. 658. 645. 631. 617.
605. 595. 586. 580. 576. 574. 7410.
1995 573. 573. 577. 585. 596. 611.
627. 644. 662. 679. 694. 707. 7528.
1996 721. 732. 744. 757. 770. 779.
782. 776. 761. 744. 730. 725. 9022.
1997 729. 739. 747. 746. 733. 714.
696. 685. 682. 685. 688. 687. 8531.
1998 677. 663. 648. 634. 622. 610.
600. 592. 585. 576. 566. 553. 7325.
1999 537. 518. 500. 488. 483. 486.
490. 492. 492. 491. 492. 497. 5966.
2000 508. 522. 534. 540. 536. 526.
514. 505. 500. 499. 498. 493. 6177.
2001 484. 471. 460. 453. 453. 456.
462. 464. 463. 459. 454. 450. 5530.
2002 448. 448. 452. 462. 478. 500.
522. 542. 555. 561. 560. 556. 6085.
2003 552. 551. 552. 554. 556. 563.
576. 599. 630. 667. 708. 748. 7257.
2004 780. 799. 802. 788. 758. 716.
671. 630. 596. 572. 556. 549. 8217.
2005 550. 560. 578. 602. 625. 642.
648. 644. 633. 619. 605. 594. 7300.
2006 584. 575. 567. 560. 554. 554.
562. 578. 602. 632. 664. 693. 7127.
2007 713. 724. 727. 729. 741. 770.
818. 884. 964. 1052. 1139. 1215. 10474.
2008 1271. 1307. 1328. 1341. 1347. 1343.
1322. 1274. 1200. 1110. 1022. 957. 14819.
2009 928. 931. 956. 990. 1019. 1038.
1051. 1060. 1065. 1066. 1061. 1047. 12210.
2010 1023. 991. 956. 917. 876. 832.
787. 6383.
AVGE 676. 677. 678. 678. 678. 678.
677. 671. 672. 673. 673. 674.
Table Total- 162091.52 Mean- 675.38 Std. Dev.- 195.57
Min - 447.79 Max - 1346.60
CLOSE PAGE 11, SERIES CLOSE
D 13 Final irregular component
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec S.D.
-----------------------------------------------------------------------------
1990
99.0 101.4 101.8 98.9 100.1 1.2
1991 98.0 100.3 100.4 103.2 98.8 100.0
96.0 102.2 104.9 100.8 99.6 98.1 2.3
1992 99.7 100.6 100.6 98.8 101.7 107.1
100.9 98.4 99.6 98.6 100.9 100.8 2.3
1993 100.9 99.4 99.5 100.5 98.0 98.7
112.7 106.1 99.1 95.3 99.3 100.2 4.4
1994 101.5 100.0 100.0 97.7 102.0 108.7
98.8 99.5 100.3 99.4 100.7 100.8 2.7
1995 98.9 99.9 100.8 100.2 97.5 100.4
102.3 98.3 100.4 101.0 98.2 100.9 1.4
1996 101.5 99.9 96.7 101.8 100.7 98.0
100.1 104.4 107.0 97.1 93.2 94.2 3.8
1997 98.3 99.7 103.7 101.1 102.1 100.9
96.0 98.6 97.1 102.2 102.9 100.2 2.3
1998 98.9 101.7 99.8 97.3 99.2 101.9
103.3 96.7 93.4 99.0 102.4 103.0 2.8
1999 100.6 97.4 98.4 101.4 98.3 99.5
91.9 101.7 102.1 102.8 96.6 95.6 3.2
2000 100.1 101.1 100.6 102.0 103.4 98.5
92.9 98.0 100.8 99.4 99.9 105.5 3.0
2001 101.3 99.5 98.6 94.9 95.5 100.4
109.8 110.4 101.8 99.1 99.3 99.2 4.7
2002 99.5 100.9 102.0 99.3 96.5 96.9
102.1 103.9 101.1 99.0 99.3 99.5 2.0
2003 100.6 101.5 96.3 100.1 103.3 102.2
93.7 95.9 98.7 107.5 102.1 98.4 3.6
2004 99.7 98.6 104.3 105.3 101.7 98.3
97.9 98.9 100.7 99.5 100.1 102.1 2.3
2005 98.0 95.9 105.3 100.9 97.3 102.3
102.7 101.5 95.6 98.7 97.8 101.9 2.9
2006 101.1 100.3 98.6 99.7 102.1 98.9
100.3 99.1 95.1 100.7 104.5 98.9 2.2
2007 99.1 103.2 101.4 99.4 99.1 97.8
98.1 96.9 104.2 100.4 98.2 99.1 2.1
2008 100.7 104.9 100.6 96.3 93.4 100.6
106.3 101.2 106.0 90.6 93.6 95.5 5.1
2009 109.6 99.8 94.9 100.7 105.7 103.6
95.0 103.4 95.5 99.4 102.4 104.6 4.5
2010 98.4 95.6 99.7 103.0 100.8 100.3
117.6 7.0
S.D. 2.4 2.1 2.5 2.4 3.0 3.0
6.6 3.6 3.6 3.2 2.8 2.8
Table Total- 24042.36 Mean- 100.18 Std. Dev.- 3.35
Min - 90.60 Max - 117.65
CLOSE PAGE 12, SERIES CLOSE
D 16 Combined adjustment factors
From 1990.Aug to 2010.Jul
Observations 240
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
98.5 99.4 99.2 98.7 99.9 99.1
1991 100.3 100.7 102.2 101.0 102.1 99.5
98.6 98.5 99.3 99.1 98.9 100.1 100.0
1992 100.3 100.6 102.2 100.9 102.1 99.5
98.7 98.4 99.1 98.9 99.1 100.3 100.0
1993 100.6 100.5 101.8 101.0 102.2 99.4
98.9 98.3 99.0 98.3 99.5 100.4 100.0
1994 100.6 100.4 101.7 101.5 102.3 99.2
98.8 98.1 98.6 98.2 100.1 100.5 100.0
1995 100.5 100.4 101.5 101.9 102.6 99.2
98.6 97.5 98.4 98.1 101.0 100.7 100.0
1996 100.2 100.3 101.5 102.3 102.4 99.2
98.2 96.9 98.5 98.8 101.5 100.6 100.0
1997 100.1 100.3 101.1 102.5 102.4 99.0
97.9 96.5 99.1 99.2 101.9 100.7 100.1
1998 100.1 99.9 100.8 102.3 102.1 98.8
97.7 96.4 100.1 99.9 101.9 100.6 100.1
1999 100.2 99.6 100.4 101.7 101.7 98.6
98.2 96.8 101.3 100.0 101.7 100.6 100.1
2000 100.1 99.2 100.1 101.1 101.3 98.8
98.9 97.3 102.1 99.9 100.9 99.9 100.0
2001 99.8 98.9 100.4 101.3 101.8 99.3
99.5 97.6 102.0 99.0 100.1 99.4 99.9
2002 99.3 98.5 101.4 101.8 102.6 100.8
100.3 97.4 100.6 97.7 99.2 98.8 99.9
2003 98.7 98.6 102.8 102.3 103.5 102.3
101.3 96.9 98.4 96.2 98.7 98.7 99.9
2004 98.5 99.0 103.7 102.6 104.1 104.1
102.3 96.2 96.4 95.0 97.9 98.1 99.8
2005 98.5 100.2 104.2 102.5 104.4 105.5
103.6 96.0 95.3 94.0 96.9 97.4 99.9
2006 98.6 101.1 103.6 101.9 104.6 107.6
104.9 96.8 94.7 93.1 95.7 96.6 99.9
2007 98.6 101.3 102.3 101.6 104.9 109.5
106.4 98.2 94.2 92.3 94.6 95.7 100.0
2008 98.2 100.9 101.0 101.8 105.8 111.3
107.4 99.5 93.7 91.7 93.7 95.0 100.0
2009 97.6 100.0 100.1 102.3 106.7 112.6
108.5 100.3 93.3 91.2 92.9 94.3 100.0
2010 97.1 98.9 99.6 103.1 107.6 113.6
109.0 104.1
AVGE 99.4 100.0 101.6 101.9 103.4 102.9
101.4 97.6 98.2 97.0 98.7 98.9
Table Total- 24017.71 Mean- 100.07 Std. Dev.- 3.20
Min - 91.15 Max - 113.61
D 16.A Combined adjustment component forecasts
From 2010.Aug to 2011.Jul
Observations 12
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
2010
100.9 93.1 90.7 92.2 94.0 94.2
2011 96.8 98.1 99.3 103.6 108.4 114.2
109.1 104.2
CLOSE PAGE 13, SERIES CLOSE
E 4 Ratios of annual totals
From 1991 to 2009
Observations 19
-----------------------------------
Year Unmodified Modified
(D11) (E3)
-----------------------------------
1991 100.01 100.01
1992 100.02 100.02
1993 99.94 99.95
1994 100.05 100.06
1995 99.99 99.99
1996 99.99 100.00
1997 100.12 100.12
1998 100.07 100.07
1999 100.05 100.04
2000 99.99 99.99
2001 99.88 99.90
2002 99.78 99.78
2003 99.70 99.70
2004 100.16 100.16
2005 99.93 99.93
2006 99.69 99.69
2007 99.23 99.23
2008 100.52 100.52
2009 99.96 99.96
CLOSE PAGE 14, SERIES CLOSE
E 5 Month-to-month percent change in the original series
From 1990.Sep to 2010.Jul
Observations 239
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
2.2 -1.2 -5.0 0.7 -0.8
1991 -3.2 1.5 0.9 1.1 -3.3 -1.4
-4.9 6.4 3.4 -4.4 -1.6 -0.5 -0.5
1992 2.2 1.9 2.3 -2.5 3.9 1.8
-7.7 -3.8 1.2 -1.4 2.9 1.7 0.2
1993 0.9 -1.0 2.3 1.5 0.6 0.3
16.6 -4.4 -4.2 -3.1 6.2 2.1 1.5
1994 1.0 -2.6 -0.2 -4.4 2.9 1.2
-11.3 -1.7 -0.1 -2.4 2.6 0.1 -1.2
1995 -2.1 1.1 2.8 0.9 -0.1 2.0
4.0 -2.4 6.0 2.9 2.2 4.6 1.8
1996 1.9 0.1 -0.4 7.9 0.7 -4.6
1.6 2.1 2.2 -11.0 -3.1 -0.6 -0.3
1997 4.4 3.1 6.1 -1.4 -0.7 -7.0
-8.3 -0.4 0.7 5.9 3.9 -4.1 0.2
1998 -3.3 0.5 -3.3 -3.1 -0.3 -2.4
-1.4 -8.9 -0.9 4.3 3.7 -3.0 -1.5
1999 -5.7 -7.0 -1.7 1.7 -3.9 -1.5
-7.2 9.8 5.0 -0.8 -4.4 -1.0 -1.4
2000 6.5 2.9 2.8 3.5 0.9 -8.9
-7.8 2.0 7.0 -3.6 1.2 3.6 0.8
2001 -6.0 -5.2 -1.8 -4.3 0.9 3.5
10.8 -0.9 -3.9 -6.3 0.1 -1.7 -1.2
2002 -0.2 0.6 5.1 -0.2 1.4 3.0
9.6 2.5 3.0 -3.8 1.6 -1.0 1.8
2003 0.4 0.6 -0.9 3.7 4.8 -1.0
-7.0 1.7 9.9 12.8 3.4 1.8 2.5
2004 5.4 1.9 11.1 -1.8 -5.8 -8.7
-8.3 -10.8 -3.3 -6.6 0.8 0.8 -2.1
2005 -3.5 1.4 18.0 -1.9 2.1 9.1
-0.5 -9.0 -8.0 -0.4 -0.1 2.7 0.8
2006 -1.2 0.2 -0.8 -1.8 4.0 -0.4
0.3 -6.2 -2.2 9.3 12.0 -0.3 1.1
2007 5.2 8.7 -0.4 -2.4 4.7 6.9
3.5 -1.4 12.5 3.1 8.5 8.8 4.8
2008 9.1 10.1 -2.5 -2.6 1.3 13.0
0.3 -15.0 -7.1 -22.6 -2.8 -3.1 -1.8
2009 14.5 -6.4 -2.3 12.2 12.8 5.4
-10.6 1.5 -13.7 1.7 4.5 2.3 1.8
2010 -5.3 -4.2 1.4 2.4 -2.4 -0.2
6.5 -0.2
AVGE 1.0 0.4 1.9 0.4 1.2 0.5
-1.1 -2.1 0.5 -1.4 1.8 0.7
Table Total- 82.05 Mean- 0.34 Std. Dev.- 5.45
Min - -22.62 Max - 18.01
CLOSE PAGE 15, SERIES CLOSE
E 6 Month-to-month percent change in seasonally adjusted series (D11)
From 1990.Sep to 2010.Jul
Observations 239
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
1.2 -1.1 -4.5 -0.5 -1.2
1991 -3.6 1.1 -0.6 2.3 -4.4 1.2
-4.0 6.5 2.6 -4.2 -1.4 -1.7 -0.5
1992 1.9 1.6 0.8 -1.3 2.7 4.5
-6.9 -3.6 0.5 -1.2 2.6 0.5 0.2
1993 0.6 -1.0 0.9 2.3 -0.6 3.1
17.1 -3.8 -4.9 -2.5 5.0 1.1 1.5
1994 0.9 -2.4 -1.5 -4.2 2.1 4.3
-10.9 -0.9 -0.6 -2.0 0.6 -0.3 -1.3
1995 -2.1 1.2 1.6 0.6 -0.8 5.5
4.7 -1.4 5.0 3.2 -0.7 4.8 1.8
1996 2.4 0.0 -1.6 7.1 0.5 -1.5
2.5 3.5 0.6 -11.3 -5.7 0.2 -0.3
1997 5.0 2.9 5.1 -2.7 -0.7 -3.7
-7.3 1.0 -2.0 5.8 1.2 -2.9 0.1
1998 -2.6 0.7 -4.1 -4.5 -0.1 0.9
-0.4 -7.6 -4.6 4.5 1.6 -1.7 -1.5
1999 -5.3 -6.5 -2.5 0.5 -3.9 1.6
-6.8 11.3 0.4 0.4 -6.0 0.0 -1.4
2000 7.0 3.9 1.8 2.4 0.8 -6.7
-7.8 3.6 2.0 -1.6 0.3 4.6 0.9
2001 -5.9 -4.3 -3.2 -5.1 0.4 6.1
10.6 1.1 -8.0 -3.5 -0.9 -1.0 -1.2
2002 -0.1 1.4 2.1 -0.6 0.6 4.9
10.1 5.6 -0.3 -0.9 0.1 -0.7 1.8
2003 0.5 0.8 -4.9 4.2 3.7 0.1
-6.1 6.3 8.2 15.4 0.8 1.8 2.6
2004 5.6 1.3 6.2 -0.8 -7.1 -8.7
-6.8 -5.2 -3.5 -5.2 -2.1 0.6 -2.1
2005 -3.8 -0.3 13.5 -0.3 0.1 8.0
1.3 -1.8 -7.4 1.0 -3.1 2.2 0.8
2006 -2.4 -2.3 -3.2 -0.2 1.4 -3.1
2.9 1.7 -0.1 11.2 9.0 -1.3 1.1
2007 3.1 5.7 -1.4 -1.7 1.4 2.5
6.5 6.7 17.3 5.2 5.9 7.6 4.9
2008 6.3 7.1 -2.5 -3.4 -2.5 7.4
3.9 -8.2 -1.3 -21.0 -4.9 -4.4 -2.0
2009 11.3 -8.7 -2.3 9.8 8.1 -0.1
-7.2 9.7 -7.2 4.1 2.5 0.8 1.7
2010 -8.0 -5.9 0.7 -1.0 -6.5 -5.5
10.9 -2.2
AVGE 0.5 -0.2 0.2 0.2 -0.2 1.0
0.3 1.3 -0.1 -0.2 0.0 0.5
Table Total- 66.45 Mean- 0.28 Std. Dev.- 5.03
Min - -20.97 Max - 17.34
CLOSE PAGE 16, SERIES CLOSE
E 7 Month-to-month percent change in final trend cycle (D12)
From 1990.Sep to 2010.Jul
Observations 239
-----------------------------------------------------------------------------
Jan Feb Mar Apr May Jun
Jul Aug Sep Oct Nov Dec AVGE
-----------------------------------------------------------------------------
1990
-1.2 -1.5 -1.7 -1.7 -1.5
1991 -1.5 -1.2 -0.8 -0.4 -0.2 -0.1
0.0 0.0 -0.1 -0.2 -0.3 -0.1 -0.4
1992 0.2 0.6 0.8 0.5 -0.1 -0.8
-1.2 -1.1 -0.7 -0.2 0.3 0.6 -0.1
1993 0.6 0.5 0.8 1.3 2.0 2.4
2.5 2.3 1.9 1.4 0.8 0.1 1.4
1994 -0.4 -1.0 -1.5 -1.9 -2.2 -2.2
-2.0 -1.7 -1.4 -1.1 -0.7 -0.4 -1.4
1995 -0.2 0.1 0.7 1.3 1.9 2.4
2.6 2.7 2.8 2.5 2.2 2.0 1.8
1996 1.9 1.6 1.6 1.8 1.7 1.2
0.4 -0.8 -1.9 -2.3 -1.8 -0.8 0.2
1997 0.6 1.4 1.1 -0.2 -1.7 -2.6
-2.5 -1.7 -0.4 0.5 0.5 -0.2 -0.4
1998 -1.4 -2.1 -2.3 -2.2 -1.9 -1.8
-1.7 -1.4 -1.2 -1.4 -1.8 -2.3 -1.8
1999 -3.0 -3.5 -3.4 -2.4 -0.9 0.4
0.9 0.5 0.0 -0.2 0.1 1.0 -0.9
2000 2.2 2.8 2.4 1.0 -0.6 -1.9
-2.3 -1.8 -0.9 -0.2 -0.2 -1.0 0.0
2001 -2.0 -2.5 -2.4 -1.5 -0.2 0.8
1.1 0.6 -0.2 -0.9 -1.1 -0.9 -0.8
2002 -0.5 0.0 0.9 2.2 3.5 4.4
4.5 3.7 2.5 1.1 -0.2 -0.8 1.8
2003 -0.7 -0.1 0.2 0.2 0.4 1.2
2.4 3.9 5.1 5.9 6.2 5.6 2.5
2004 4.3 2.5 0.4 -1.8 -3.8 -5.5
-6.3 -6.1 -5.3 -4.1 -2.8 -1.4 -2.5
2005 0.1 1.8 3.4 4.1 3.9 2.6
0.9 -0.7 -1.7 -2.1 -2.3 -2.0 0.7
2006 -1.6 -1.5 -1.4 -1.3 -1.0 0.0
1.5 2.9 4.2 5.0 5.1 4.3 1.3
2007 2.9 1.5 0.4 0.3 1.7 3.8
6.2 8.1 9.1 9.1 8.3 6.6 4.8
2008 4.6 2.8 1.6 1.0 0.4 -0.2
-1.6 -3.6 -5.8 -7.5 -7.9 -6.4 -1.9
2009 -3.0 0.3 2.7 3.5 2.9 1.9
1.2 0.9 0.5 0.1 -0.5 -1.3 0.8
2010 -2.3 -3.1 -3.5 -4.1 -4.5 -5.0
-5.4 -4.0
AVGE 0.0 0.1 0.1 0.1 0.1 0.1
0.1 0.4 0.3 0.2 0.1 0.1
Table Total- 27.86 Mean- 0.12 Std. Dev.- 2.71
Min - -7.92 Max - 9.14
CLOSE PAGE 17, SERIES CLOSE
F 2. Summary Measures
F 2.A: Average percent change without regard to sign over the
indicated span
Span
in B1 D11 D13 D12 D10 A2 D18 F1
months O CI I C S P TD&H mcd
1 3.97 3.71 3.10 2.00 1.69 0.00 0.00 2.60
2 6.64 5.91 3.94 3.94 2.48 0.00 0.00 4.87
3 8.15 7.44 3.98 5.78 3.32 0.00 0.00 6.66
4 9.43 8.78 3.51 7.50 3.72 0.00 0.00 8.18
5 10.86 10.24 3.37 9.08 4.08 0.00 0.00 9.63
6 12.12 11.47 3.37 10.52 4.12 0.00 0.00 10.94
7 13.10 12.61 3.29 11.82 4.12 0.00 0.00 12.12
8 14.06 13.76 3.55 13.07 3.83 0.00 0.00 13.26
9 15.06 14.94 3.38 14.13 3.48 0.00 0.00 14.37
10 16.07 15.98 3.22 15.11 2.61 0.00 0.00 15.40
11 16.76 16.77 3.32 15.94 1.78 0.00 0.00 16.18
12 17.46 17.46 3.85 16.67 0.53 0.00 0.00 16.89
Span
in E1 E2 E3
months Mod.O Mod.CI Mod.I
1 3.77 3.37 2.68
2 6.17 5.41 3.27
3 7.71 6.98 3.29
4 9.03 8.40 2.84
5 10.51 9.95 2.79
6 11.90 11.19 2.71
7 12.96 12.36 2.70
8 13.94 13.55 3.00
9 14.95 14.72 2.74
10 15.99 15.82 2.66
11 16.71 16.67 2.75
12 17.36 17.38 3.25
F 2.B: Relative contributions to the variance of the percent change
in the components of the original series
Span
in E3 D12 D10 A2 D18 RATIO
months I C S P TD&H TOTAL (X100)
1 51.16 28.54 20.31 0.00 0.00 100.00 98.43
2 32.98 48.02 19.01 0.00 0.00 100.00 85.05
3 19.57 60.47 19.96 0.00 0.00 100.00 93.04
4 10.29 72.01 17.70 0.00 0.00 100.00 96.01
5 7.29 77.14 15.56 0.00 0.00 100.00 96.77
6 5.43 81.97 12.60 0.00 0.00 100.00 95.31
7 4.44 85.20 10.36 0.00 0.00 100.00 97.59
8 4.62 87.84 7.54 0.00 0.00 100.00 99.97
9 3.41 91.05 5.54 0.00 0.00 100.00 98.03
10 2.92 94.26 2.82 0.00 0.00 100.00 94.80
11 2.85 95.96 1.19 0.00 0.00 100.00 94.80
12 3.66 96.24 0.10 0.00 0.00 100.00 95.81
F 2.C: Average percent change with regard to sign and standard
deviation over indicated span
Span B1 D13 D12
in O I C
months Avg. S.D. Avg. S.D. Avg. S.D.
1 0.34 5.43 0.16 4.14 0.12 2.71
2 0.73 8.57 0.21 5.25 0.33 5.35
3 1.11 10.76 0.20 5.30 0.63 7.87
4 1.52 12.47 0.19 4.68 1.00 10.24
5 1.94 14.32 0.18 4.57 1.42 12.41
6 2.37 16.04 0.17 4.47 1.87 14.40
7 2.80 17.56 0.16 4.37 2.34 16.19
8 3.27 19.07 0.19 4.73 2.83 17.81
9 3.69 20.37 0.18 4.61 3.31 19.28
10 4.09 21.57 0.18 4.53 3.79 20.63
11 4.47 22.64 0.16 4.37 4.26 21.87
12 4.96 23.76 0.22 5.09 4.71 23.05
Span D10 D11 F1
in S CI mcd
months Avg. S.D. Avg. S.D. Avg. S.D.
1 0.07 2.32 0.28 5.02 0.18 3.47
2 0.16 3.56 0.56 7.80 0.47 6.47
3 0.24 4.56 0.88 9.93 0.83 8.91
4 0.28 5.05 1.25 11.78 1.22 11.02
5 0.30 5.44 1.66 13.73 1.64 12.99
6 0.30 5.59 2.10 15.56 2.10 14.84
7 0.29 5.69 2.55 17.20 2.58 16.56
8 0.24 5.49 3.06 18.79 3.08 18.13
9 0.18 5.06 3.53 20.12 3.56 19.54
10 0.09 3.95 4.01 21.33 4.04 20.83
11 0.02 2.52 4.46 22.53 4.51 22.05
12 0.00 0.69 4.97 23.75 4.97 23.24
F 2.D: Average duration of run CI I C mcd
2.15 1.80 8.24 4.02
F 2.E: I/C Ratio for months span
SPAN 1 2 3 4 5 6
I/C 1.55 1.00 0.69 0.47 0.37 0.32
SPAN 7 8 9 10 11 12
I/C 0.28 0.27 0.24 0.21 0.21 0.23
months for cyclical dominance: 2
F 2.F: Relative contribution of the components to the stationary
portion of the variance in the original series
I C S P TD&H Total
1.36 95.53 1.94 0.00 0.00 98.83
F 2.G: The autocorrelation of the irregulars for spans 1 to 14
SPAN 1 2 3 4 5 6 7
ACF 0.17 -0.29 -0.31 -0.03 0.03 0.06 0.11
SPAN 8 9 10 11 12 13 14
ACF -0.05 0.00 0.04 0.11 -0.18 -0.05 0.14
F 2.H: The final I/C Ratio from Table D12: 1.11
The final I/S Ratio from Table D10: 4.94
F 2.I: Statistic Prob.
level
F-test for stable seasonality from Table B 1. : 2.033 2.67%
F-test for stable seasonality from Table D 8. : 4.660 0.00%
Kruskal-Wallis Chi Squared test
for stable seasonality from Table D 8. : 43.632 0.00%
F-test for moving seasonality from Table D 8. : 3.744 0.00%
CLOSE PAGE 19, SERIES CLOSE
F 3. Monitoring and Quality Assessment Statistics
All the measures below are in the range from 0 to 3 with an
acceptance region from 0 to 1.
1. The relative contribution of the irregular over three M1 = 1.957
months span (from Table F 2.B).
2. The relative contribution of the irregular component M2 = 0.136
to the stationary portion of the variance (from Table
F 2.F).
3. The amount of month to month change in the irregular M3 = 0.054
component as compared to the amount of month to month
change in the trend-cycle (from Table F2.H).
4. The amount of autocorrelation in the irregular as M4 = 1.590
described by the average duration of run (Table F 2.D).
5. The number of months it takes the change in the trend- M5 = 0.300
cycle to surpass the amount of change in the irregular
(from Table F 2.E).
6. The amount of year to year change in the irregular as M6 = 0.375
compared to the amount of year to year change in the
seasonal (from Table F 2.H).
7. The amount of moving seasonality present relative to M7 = 1.399
the amount of stable seasonality (from Table F 2.I).
8. The size of the fluctuations in the seasonal component M8 = 1.653
throughout the whole series.
9. The average linear movement in the seasonal component M9 = 0.920
throughout the whole series.
10. Same as 8, calculated for recent years only. M10 = 2.641
11. Same as 9, calculated for recent years only. M11 = 2.482
*** CONDITIONALLY REJECTED *** at the level 1.05
*** Check the 6 above measures which failed.
*** Q (without M2) = 1.16 CONDITIONALLY REJECTED.
CLOSE PAGE 20, SERIES CLOSE
Visually significant residual trading day peaks have been
found in the spectral plot of the following series starting in 2002.Aug:
differenced, transformed original series (1 Trading Day peak(s))
CLOSE PAGE 21, SERIES CLOSE
G.0 10*LOG(SPECTRUM) of the differenced, transformed Original Data
(Table A1 or B1). Spectrum estimated from 2002.Aug to 2010.Jul.
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
-16.88I * I -16.88
I * I
I * * I
I * * I
-18.28I * * I -18.28
I * * I
I *** * I
I * *** * * I
-19.69I * *** * * I -19.69
I * *** ** * * * I
I * ***** *S * * T I
I * ****S *S * * T I
-21.10I * ****S *S * ** T I -21.10
I * ****S *S * ** T I
I * ****S *S * ** T I
I * ****S *S * ** T I
-22.50I ** ****S * *S ** ** T* * I -22.50
I ** ****S * *S ** ** T* * I
I *** ****S * *S *** ** T*** I
I ********S* ** *S *** ** * T*** I
-23.91I ********S* ** *S**** ** * T*** I -23.91
I ********S* ** *S**** ** * * T*** I
I ********S**** *S**** ** ** * *T*** I
I ********S**** *S**** *** ** * *T*** I
-25.31I ********S**** *S**** *** *** * *T*** *I -25.31
I ********S**** *S**** *** *** * *T**** SI
I ********S**** *S**** *** *** * *T**** SI
I ********S**** *S**** ******* * *T**** SI
-26.72I ********S**** *S**** ******** * *T**** SI -26.72
I ********S**** *S***** S******** * *T**** SI
I *********S**** *S***** * S******** * *T**** *SI
I *********S**** *S******* S******** ** *T**** *SI
-28.12I *********S**** **S*********S******** T* *T**** *SI -28.12
I *********S***** **S*********S******** T* *T***** *SI
I**********S***** **S*********S********* T* **T*******SI
I**********S***** **S*********S********* T** S*T*******SI
-29.53I**********S***** **S*********S********* T** S*T*******SI -29.53
I**********S***** **S*********S********* *T** S*T*******SI
I**********S***** **S*********S***********T** S*T*******SI
I**********S***** **S*********S*********S*T** S*T*******SI
-30.93I**********S***** ***S*********S*********S*T** S*T*******SI -30.93
I**********S*********S*********S*********S*T** S*T*******SI
I**********S*********S*********S*********S*T** S*T*******SI
I**********S*********S*********S*********S*T** S*T*******SI
-32.34I**********S*********S*********S*********S*T** *S*T*******SI -32.34
I**********S*********S*********S*********S*T** *S*T*******SI
I**********S*********S*********S*********S*T** *S*T*******SI
I**********S*********S*********S*********S*T*** *S*T*******SI
-33.75I**********S*********S*********S*********S*T*** *S*T*******SI -33.75
I**********S*********S*********S*********S*T*** *S*T*******SI
I**********S*********S*********S*********S*T*** **S*T*******SI
I**********S*********S*********S*********S*T*** **S*T*******SI
-35.15I**********S*********S*********S*********S*T*******S*T*******SI -35.15
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
S=SEASONAL FREQUENCIES, T=TRADING DAY FREQUENCIES
CLOSE PAGE 22, SERIES CLOSE
G.1 10*LOG(SPECTRUM) of the differenced, transformed seasonally adjusted
data (Table E2). Spectrum estimated from 2002.Aug to 2010.Jul.
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
-15.63I * I -15.63
I * I
I * I
I * I
-17.29I * * I -17.29
I * * I
I * * I
I * * I
-18.94I * * I -18.94
I ** * I
I ** * I
I * ** * * I
-20.60I * ** * * * I -20.60
I * ** * * * T I
I ** ** * * * T I
I *** ** * * * T I
-22.25I ****** * * * T I -22.25
I ****** * * * T I
I ****** * * * T* I
I ******* * * ** * * T* * I
-23.90I ******* * *** ** ** * T* * I -23.90
I ******** * *** ** ** * T* ** I
I ******** * *** ** ** * T* ** I
I********* * *** *** ** * T**** I
-25.56I********* * *** *** ** * T***** I -25.56
I********* ** *** *** ** * *T***** I
I********* ** * *** *** ** * *T***** I
I********* ** * *** *** ** * *T***** I
-27.21I********* ** ** **** *** ** * *T***** I -27.21
I********* ** ** **** **** ** * *T***** I
I********** *** ** ***** ******* * *T***** I
I********** *** ** ****** ******** * *T****** I
-28.87I********** *** ********** S******* * *T****** I -28.87
I********** *** **S*********S******* * **T****** I
I********** **** ***S*********S******* * S*T******* I
I*************** ***S*********S******* * S*T********I
-30.52I**********S**** ***S*********S******* * S*T*******SI -30.52
I**********S**** ***S*********S******* ** S*T*******SI
I**********S***** ***S*********S******* ** S*T*******SI
I**********S*********S*********S******* ** *S*T*******SI
-32.17I**********S*********S*********S******* ** *S*T*******SI -32.17
I**********S*********S*********S******** *** *S*T*******SI
I**********S*********S*********S******** T** *S*T*******SI
I**********S*********S*********S******** T** **S*T*******SI
-33.83I**********S*********S*********S******** T** **S*T*******SI -33.83
I**********S*********S*********S******** T** **S*T*******SI
I**********S*********S*********S******** T** **S*T*******SI
I**********S*********S*********S******** T*** ***S*T*******SI
-35.48I**********S*********S*********S******** T*** ***S*T*******SI -35.48
I**********S*********S*********S******** T*******S*T*******SI
I**********S*********S*********S********* T*******S*T*******SI
I**********S*********S*********S********* *T*******S*T*******SI
-37.14I**********S*********S*********S***********T*******S*T*******SI -37.14
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
S=SEASONAL FREQUENCIES, T=TRADING DAY FREQUENCIES
CLOSE PAGE 23, SERIES CLOSE
G.2 10*LOG(SPECTRUM) of the modified irregular (Table E3).
Spectrum estimated from 2002.Aug to 2010.Jul.
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
-18.39I * I -18.39
I * I
I * I
I * I
-20.22I * I -20.22
I * I
I * I
I * I
-22.04I * I -22.04
I * I
I * I
I * * I
-23.87I * * I -23.87
I * * I
I ** * I
I *** * I
-25.70I *** * I -25.70
I *** * I
I *** * * I
I *** * * * I
-27.52I *** ** * T I -27.52
I * *** ** * * T I
I ** ***** ** * * T* I
I ********* ** ** * T* I
-29.35I **S******* *** ** * T* * I -29.35
I **S******* *** ** * T* * I
I * ***S******* *** ** * T* ** I
I ** ***S******* *** ** * T* ** I
-31.18I *******S******* ******* * T**** I -31.18
I *******S******** ******* * T**** I
I *******S******** ******* * *T***** I
I * ********S******** ******** * *T***** I
-33.00I ** ********S*********S******* * *T***** I -33.00
I ** ********S*********S******* * *T***** I
I ** ********S*********S******* * *T***** I
I ** ********S*********S******* * *T****** I
-34.83I *** *********S*********S******* * **T********I -34.83
I *** *********S*********S******* * S*T*******SI
I *************S*********S******* * S*T*******SI
I ***S*********S*********S******* * S*T*******SI
-36.66I ***S*********S*********S******** ** S*T*******SI -36.66
I ****S*********S*********S******** ** *S*T*******SI
I ****S*********S*********S******** ** *S*T*******SI
I ****S*********S*********S******** *** *S*T*******SI
-38.48I ****S*********S*********S******** T** *S*T*******SI -38.48
I ****S*********S*********S******** T** *S*T*******SI
I ****S*********S*********S******** T** **S*T*******SI
I *****S*********S*********S******** T** **S*T*******SI
-40.31I *****S*********S*********S********* T** **S*T*******SI -40.31
I *****S*********S*********S********* T** **S*T*******SI
I** ******S*********S*********S********* *T*** **S*T*******SI
I**********S*********S*********S***********T*** ***S*T*******SI
-42.14I**********S*********S*********S*********S*T*******S*T*******SI -42.14
++++++++++I+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++I
S=SEASONAL FREQUENCIES, T=TRADING DAY FREQUENCIES
CLOSE PAGE 24, SERIES CLOSE
R 0 Summary of options selected for revisions history analysis.
History analysis performed for the following:
---------------------------------------------
- Final Seasonally Adjusted Series
Starting date for history analysis: 1998.Aug
Ending date for history analysis: 2010.Jul
Seasonal Adjustment Revisions Computed Using Final as Target.
regARIMA coefficient estimates are estimated during the history analysis.
No outliers kept or deleted during this history analysis.
CLOSE PAGE 25, SERIES CLOSE
R 1 Percent revisions of the concurrent seasonal adjustments
From 1998.Aug to 2010.Jun
Observations 143
Date Conc -
Final
---- ------
1998
Aug -0.89
Sep -3.94
Oct -3.38
Nov -4.31
Dec -1.88
1999
Jan -0.69
Feb 0.56
Mar -0.41
Apr -0.66
May -0.66
Jun 0.35
Jul -1.47
Aug -3.65
Sep -6.65
Oct -1.76
Nov -2.61
Dec 0.75
2000
Jan -0.78
Feb -0.05
Mar -0.97
Apr -0.29
May -0.76
Jun 0.03
Jul -4.58
Aug -1.90
Sep -7.34
Oct -1.13
Nov -4.18
Dec -2.52
2001
Jan 0.32
Feb 0.65
Mar -0.21
Apr 0.35
May 0.08
Jun -1.34
Jul -5.80
Aug -2.39
Sep -5.27
Oct 0.67
Nov 0.91
Dec 1.25
2002
Jan 1.04
Feb 0.30
Mar -2.35
Apr -2.24
May -3.02
Jun -2.98
Jul -2.75
Aug 1.05
Sep 2.22
Oct 2.38
Nov 1.27
Dec 0.73
CLOSE PAGE 26, SERIES CLOSE
R 1 Percent revisions of the concurrent seasonal adjustments
Date Conc -
Final
---- ------
2003
Jan -0.59
Feb -1.60
Mar -4.96
Apr -4.15
May -4.36
Jun -3.03
Jul -4.43
Aug 3.02
Sep 6.87
Oct 5.59
Nov 3.87
Dec 3.78
2004
Jan 2.96
Feb 1.23
Mar -2.33
Apr -1.56
May -1.10
Jun -3.77
Jul -5.03
Aug 1.67
Sep 2.23
Oct 2.34
Nov -0.02
Dec 0.17
2005
Jan 0.12
Feb -1.06
Mar -0.34
Apr 3.47
May 1.97
Jun -2.41
Jul -2.33
Aug 1.31
Sep 3.19
Oct 0.54
Nov -0.49
Dec -0.58
2006
Jan -1.89
Feb -3.50
Mar -1.69
Apr 1.57
May 0.72
Jun -1.64
Jul -1.85
Aug 0.40
Sep 0.09
Oct 2.88
Nov 1.11
Dec 4.05
2007
Jan 1.05
Feb -0.11
Mar 5.62
Apr 4.14
May 0.29
Jun -2.65
Jul -0.42
Aug 1.04
Sep 6.16
Oct 5.20
Nov 7.45
Dec 7.00
CLOSE PAGE 27, SERIES CLOSE
R 1 Percent revisions of the concurrent seasonal adjustments
Date Conc -
Final
---- ------
2008
Jan 5.86
Feb 6.52
Mar 7.02
Apr 2.25
May -2.22
Jun -5.26
Jul -2.86
Aug -2.19
Sep 4.82
Oct 2.64
Nov 2.86
Dec 1.07
2009
Jan 2.13
Feb 5.28
Mar 4.51
Apr -0.48
May -3.38
Jun -2.27
Jul 2.04
Aug 2.39
Sep 10.80
Oct 3.53
Nov -0.29
Dec -1.09
2010
Jan 6.27
Feb 4.58
Mar 3.18
Apr -1.50
May -0.64
Jun -0.03
CLOSE PAGE 28, SERIES CLOSE
R 1.S Summary statistics : average absolute percent revisions of the seasonal adjustments
Date Conc -
Final
---- ------
Months:
Jan 1.97
Feb 2.12
Mar 2.80
Apr 1.89
May 1.60
Jun 2.15
Jul 3.05
Aug 1.82
Sep 4.96
Oct 2.67
Nov 2.45
Dec 2.07
Years:
1998 2.88
1999 1.68
2000 2.04
2001 1.60
2002 1.86
2003 3.85
2004 2.03
2005 1.49
2006 1.78
2007 3.43
2008 3.80
2009 3.18
2010 2.70
Total:
2.46
Hinge Values:
Min 0.02
25% 0.75
Med 2.13
75% 3.59
Max 10.80
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