demetra+ [email protected]. quick tour versatile software. choose the right tool demetra+ main...
TRANSCRIPT
Demetra+
Quick Tour
• Versatile software. Choose the right tool• Demetra+ main feature: multi-processing• Demetra+ in production. Understanding the
re-estimation procedure• The file system of Demetra+.• Batch processing by means of WSACruncher• Automation
1. Choose the right toolTask Tools Comments
Interactive analysis (experts)
Demetra+ Single documents
Black-box SA Excel add-ins For unskilled people. Not suited for repeating work
ProductionSmall sets (< 100)
Demetra+Excel add-in
Excel add-in = light Demetra+ plugged in Excel
ProductionLarge sets
Demetra+ (<1000)WSACruncher
Demetra+ for interactive improvements,WSACruncher for bulk processing
Production. Advanced (specific handling)
Programming tools See special topic
2. Demetra+: using multi-processing
• Choose a default specification• RSA4 or RSA5(c): automated procedure • Exception (pre-definition of the specification)
– Specific calendar (National holidays...)– Specific needs (no outliers detection...)
• Create a new multi-processing• Use the local menu in the Workspace Window (Multi-
processing) • Rename the multi-processing, if need be
• Select the series• Use drag-drop• Consider the list container (Tools Containers List) to
make easier selections
• [Repeat the selection procedure]• Possibility to mix the specifications• Possibility to mix the sources
• Run the processing• Inspect the results
• The summary and the matrix view give useful general information (see especially the signs of trading days, leap year, Easter coefficients, the numbers of outliers).
• Sort the results following the quality– Quality indicator = just an indicator (to be improved)!!– Inspect bad series firstly, but don't forget the other series– Use the priority field to mark important series (sort by
priority)
• Inspect and modify bad series– Problems in diagnostics:• Spectral td peaks calendar variables (remove pre-
tests, modify options)• Residuals
– Skewness: log/level– Kurtosis: (difficult) critical value for outliers detection
• Spectral seasonal peaks. Difficult – Seats: Arima specification (use auto-modelling or Airline; try
(2 1 0)(0 1 1)...). Box-Jenkins could be inappropriate.– X11: filters
• Residual seasonality Series span (shorter) or– Seats: Arima specification – X11: filters
– Other important outputs (personal preferences)• Charts (main chart, SI-ratio)• Arima spectrum (→ simplify if possible)• Regression model (→ checks the significance / the signs
of the coefficients, consider the number of outliers)• Last residuals • ...
• Improve by trial and error (see above)
• Generating the output– Users should prefer csv files• More efficient, many outputs• csv format depends on international settings
(Windows)!• Immediate (or easy) import in numerous software (or
DB)
– Usual options (default folders, presentation...) can be saved (see "Tools → Options → Outputs")
– Feedback in the log window (location of the output...)
3. Understanding the re-estimation• Classification of the parameters of a SA processing– Reg-Arima modelling
• Defining the "domain" of the model– Log/level– Type, time span of outliers – Regression variables (calendars...)– Arima model
• Defining the "selection procedure"– Fct, VA, diffAIC...
• Operational– TOL, maxiter
– Decomposition– Diagnostics, output (not used in Demetra+)
Domain specification
Estimation specification
Point (or result) specification
Refresh (partial)
Refresh (concurrent)
Process (I)
Refresh (current)
Process(II)
Refreshing and multi-processing
• Step 1: Definition of the "domain specification"– limits of the considered models
• Step 2: First estimation – Results define the "point specification"
• Step 3: Refreshing: definition of an "estimation specification"– between the results and the domain (by relaxing some
constraints)
• Step 4: Next estimation– Results define a new "point specification"
Refreshing Relaxed constraints (cumulative)
Current adjustment None(estimation spec = point spec)
Current adjustment (partial) Coefficients of the regression variables
Partial concurrent / Parameters Parameters of the Arima model
Partial concurrent / Last outliers Last outliers re-evaluated (1 year)
Partial concurrent / Outliers All outliers re-evaluated
Partial concurrent / Outliers + Arima Arima model (orders)
Concurrent adjustment All (estimation spec = domain spec)
SA Processing and refreshing. Tips
• Keep the domain specification as large as possible (for significant refreshing)
• Limitations of Demetra+– Overview of the different specifications (→next
release)– Possible problem with pre-specified outliers (→
use intervention variables when needed)– True current adjustment unavailable (→ JDemetra)– Limited set of refreshing:
4. File system of Demetra+
• Storage of information in xml files• Separate file for each document– Contents of the workspace– TramoSeats / X12 specification– TramoSeats / X12 single processing– Multi-processing– Calendars– User's variables
Files of a workspace
Contents of the
workspacedescriptor
Multi-processing file(in SAProcessing folder)
• Domain specification(s)• Items– Attributes• reference to domain specification[,estimation policy,
quality]
– Identification– [Data]– [Point specification]– [Estimation specification]
• Remarks:– No results (except the estimated model)– All information for re-estimating the processing• Identification• Data• All specifications
– Future improvements of Demetra+ (refreshing):• Comparison of the raw series• Comparison of the models
5. WSACruncher• WSACruncher is a console application for
batch processing
Read the workspace
Refresh the processing
Generate the output
Save the results
Demetra files(workspace)
wsacruncher.params
csv files...
• The xml parameters file defines the main steps:– refreshing policy– output (csv, diagnostics)
• The workspace must contain all the files, using the same structure as Demetra+
• Syntax of the command: <path>\wsacruncher <workspace> -x <parameters>
Example: "c:\program files...\wsacruncher" workspace.xml -x wsacruncher.params
6. Automation
• Best solution for production chains– making your in-house software• Providing specific Demetra+/WSACruncher modules for
– Accessing the data– Providing new diagnostics– Saving the results
(Not discussed here)
• Using building blocks of Demetra+ in a new application
– interacting with WSACruncher through xml files
Advanced?
Xml files, WSACruncher
.NET Applications (C#)
VBA: Excel add-ins... Advanced users
WSACruncher (params) Demetra+
Visual Studio (express edition)
MS-Office
Others (SAS...), through files
NO
YES
IT-Team? YES
Light dev.?
YES
NO
NO
Automation: comparisonSolution Advantages Drawbacks
WSACruncher •Simple •Efficient
Limited possibilities
.NET •Powerful solution•Complete access to internal routines
•For "professionals" only•Uncertain future (JDemetra ?)
VBA •Light, accessible for non experts.•Efficient
•MS solution ( JDemetra ?)•No full access to routines of Demetra+
Xml files •Independent solution•Integration in legacy environments
•Complex•(Rather) inefficient•Limited access to routines of Demetra+