It is now possible to seasonally adjust multiple series in a
single call to seas()
. This is done by using the built-in
batch mode of X-13. It removes the need for loops or
lapply()
in such cases, and finally brings one missing
feature of X-13 to seasonal – the composite spec.
Multiple adjustments can be performed by supplying multiple time
series as an "mts"
object:
This will perform two seasonal adjustments, one for
fdeaths
and one for mdeaths
. X-13
spec-argument combinations can be applied in the usual way, such as
x11 = ""
. Note that if entered that way, they will apply to
both series.
As in a single series call, we can also use the list
argument:
It is possible to specify individual specs for each series, by
encapsulating specific spec lists in the list
argument. In
the following, fdeaths
is adjusted by X-11 and
mdeaths
by the default SEATS procedure. The length of list
must be equal to number of series.
We can even combine these ideas. The following turns off the AIC test
of the regression spec for both series
(regression.aictest = NULL
) and uses X-11 to adjust
fdeaths
and SEATS to adjust mdeaths
:
There are several ways of specifying multiple series. We have already
seen how "mts"
objects can be used as an input.
Alternatively, we can also use a list of single "ts"
objects:
This is convenient if series differ in length or frequency. With the tsbox package, you can create such lists of time series from any time series object. Let us assume your data is in a data frame:
library(tsbox)
dta <- ts_c(mdeaths = ts_df(mdeaths), AirPassengers = ts_df(AirPassengers))
head(dta)
In order to seasonally adjust all series in the data frame, you can run:
Finally, you can specify the data directly in the list of lists:
X-13 ships with a batch mode that allows multiple adjustments in a
single call to X-13. This is now the default in seasonal
(multimode = "x13"
). Alternatively, X-13 can be called for
each series (multimode = "R"
). The results should be
usually the same, but switching to multimode = "R"
may be
useful for debugging:
In general, multimode = "x13"
is faster. The following
comparison on a MacBook Pro shows a modest speed gain, but bigger
differences have been observed on other systems:
Support for the X-13 batch mode makes it finally possible to use the composite spec – the one feature of X-13 that was missing in seasonal. Sometimes, one has to decide whether seasonal adjustment should be performed on a granular level, or on an aggregated level. The composite spec helps you to analyze the problem and to compare the direct and the indirect adjustment.
X-13 requires to define a series.comptype
for individual
series. Usually, this will be set as
series.comptype = "add"
.
The composite
argument is a list with an X-13
specification that is applied on the aggregated series. Specification
works identical as for other series in seas()
, including
the application of the defaults. If you provide an empty list, the usual
defaults of seas()
are used. A minimal composite call looks
like this:
m_composite <- seas(
cbind(mdeaths, fdeaths),
composite = list(),
series.comptype = "add"
)
m_composite
You can verify that the composite refers to the total of
mdeaths
and fdeaths
by running:
where ldeaths
is the sum of mdeaths
and
fdeaths
.
The functions out()
and series()
can be
used to extract the output or series of the composite adjustment: