Report on the development of JDemetra+ (X-11 part)Status of development, testing and further issuesAndreas Lorenz, Deutsche Bundesbank, Statistics Department

Andreas Lorenz, Deutsche Bundesbank

Outline

1. Current status of the development of the X-11 part

2. Plug-in for the aggregation and disaggregation of chain indices

3. Testing

4. Open issues

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Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (1/3)

Arguments of the x11{} spec

seasonalma

If a mix of different seasonal filters is specified for some calendar months or quarters and one or more stable filters are used then JDemetra+ (Version 1.4.0) produces different results than the X-11 routine implemented by the US Census Bureau in Win X-13. The issue has been fixed and will be integrated in a coming version of JDemetra+.

calendarsigma

Currently, the argument is missing in JDemetra+ (Version 1.4.0). E.g. with the option calendarsigma=all, the standard errors used for extreme value detection and adjustment are computed separately for each month (quarter).

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Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (2/3)

Arguments of the regression{} spec

centeruser

Currently, the argument centeruser=seasonal is missing in JDemetra+ (Version 1.4.0). With this option, means for each calendar month (or quarter) are subtracted from each of the user-defined regressors.

We want to check whether it is feasible to code a plug-in that could do the job of centering regressors in a more flexible manner.

b

Currently, it is not possible to specify the values for regression parameters of outliers or calendar regressors.

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Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (3/3)

Arguments of the regression{} spec

variables

Currently, the argument variables=seasonal is missing in JDemetra+ (Version 1.4.0). This option specifies fixed seasonal effects parameterized via s - 1 seasonal contrast variables (s = seasonal period).

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Andreas Lorenz, Deutsche Bundesbank

2. Plug-in for aggregating and disaggregating chain indices

Work in progress regarding the implementation of aggregation and disaggregation of chain indices in JDemetra+ on the basis of an existing Excel-Macro (VBA):

- migration of the prototype to a plug-in- enhancement of the functionalities, e.g. quarterly overlap

See presentation of Christiane Hofer at the SACC-meeting in May 2014

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Andreas Lorenz, Deutsche Bundesbank

3. Testing

Issues in the X-11 part of the current version of JDemetra+ (1.4.0) that have been revealed in previous testing, such as regarding the seasonalma spec, are currently being fixed.

In the meantime, with the assistance of an intern the RegARIMA/TRAMO part of JDemetra+ is being tested and compared with WinX-13 and TSW. These are not “mass tests”, but selected test cases for a variety of time series.

final and sfshort

Still need to test and document how these arguments work in JDemetra+.

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Andreas Lorenz, Deutsche Bundesbank

4. Open issues

Technical issues regarding the IT infrastructure of the developers at the Bundesbank

See presentation of Jörg Meier at the SACC-meeting in May 2014

Internal release of a new data provider “IBM-host” for the Bundesbank

Further testing and documentation of JDemetra+

Example: How is the final=user argument of the original Census Bureau’s x11{} spec implemented in JDemetra+? The existing menu structure of JD+ suggests more than one plausible choice, whose implications are not immediately clear to the user.

Therefore, we offer contributing to the existing documentation (JD+ User Manual) what we have learned from exploring the “unchartered territory” mentioned above mainly in the realm of the X-11 part and relating to the use of user defined calendar regressors.

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