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3.2.1 JDemetra + development Frankfurt, 20 June 2013

3.2.1 JDemetra + development Frankfurt, 20 June 2013. jean.palate@nbb.be. Outline. Overview of JDemetra + 1.3 Recent developments Unit tests Statistical modules SA Algorithms Others IO Graphical interface ( NetBeans ) Others Cruncher , WEB-Service, .NET connection

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3.2.1 JDemetra + development Frankfurt, 20 June 2013

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  1. 3.2.1 JDemetra+ developmentFrankfurt,20 June 2013 jean.palate@nbb.be

  2. Outline • Overview of JDemetra+ 1.3 • Recentdevelopments • Unit tests • Statistical modules • SA Algorithms • Others • IO • Graphical interface (NetBeans) • Others • Cruncher, WEB-Service, .NET connection • Documentation • JoinUp • Future developments

  3. Overview

  4. Overview (II)

  5. Recent developments • Unit tests • 5-10% of the classes • Critical statistical functions • Arima estimation (Kalman filter, Ansley's algorithm...) • Unobserved components estimation (Burman's algorithm, Kalman smoother...) • ... • Code included in the projects

  6. Algorithms • SA modules • RegArima estimation • Extensive analysis of the estimation problem (see below) • Remark: • RegArima estimations in Tramo, X12 and JD+ refer exactly to the same mathematical problem • Their implementations differ on many details • Tramo-Seats • No significant changes • X12 • Forecasts of the components • Complete diagnostics • Others • Temporal disaggregation, benchmarking • Chow-Lin..., improved multi-variate Cholette • Independent plug-in, NBB internal use

  7. RegArima estimation (300 series of the industrial production in Germany) • Main conclusions: • Identical results for most models • Differences in complex models (AR and MA) due to several local maxima • Differences usually small but sometimes substantial • Limits for the comparison of AMI • around 90-95% with well-behaved series, worse with "bad" series (<80%)

  8. IO • Improved data providers (input) • JDBC/ODBC (caching) • SDMX • Compatibility with SDW (ECB), .STAT (OECD) • SAS • Random time series (testing) • Graphical interface (NetBeans) • Richer graphical components • More extension points (=features that external teams may expand) • "Extensible" workspaces (new statistical tools) • Others • Cruncher (batch processing): completed • Light RESTful WEB service for SA (and other algorithms): in test • Automatic translation of the bytecode (IKVM): tested

  9. Documentation, JoinUp • Documentation for developers • Progressive documentation of the API in the code (for JavaDoc): 10% • Specific documents on JoinUp (see below) • JoinUp • Revival of SAT (Seasonal Adjustment Toolkit project) • Sharing of the code by means of the JoinUp repositories • Specific documents for IT developers • Future use of the Wiki

  10. Future developments (proposals) • Short term • Integration of the last improvements of Tramo-Seats • Medium term • Interface with the original software (spec files) • Graphical interface: customization of the output panels... • Reports, outputs... • Quality diagnostics • Long term • Unified algorithm (single pre-processing, several decomposition schemes) • Advanced analysis • Time varying TD... • Recurring • Documentation of the API • Unit tests

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