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Report on JDemetra+

Report on JDemetra+. Sylwia Grudkowska Henrik Schwartzlose ECB/Macroeconomic Statistic Division. Seasonal Adjustment Expert Group Meeting December 07 th 2015, Luxembourg. Agenda. 1. Documentation for JDemetra+ 2.0.0. 2. Documentation for JDemetra+ 2.1.0. 3. The ECB plans for migration.

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Report on JDemetra+

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  1. Report on JDemetra+ Sylwia Grudkowska Henrik Schwartzlose ECB/Macroeconomic Statistic Division Seasonal Adjustment Expert Group Meeting December 07th 2015, Luxembourg

  2. Agenda 1 Documentation for JDemetra+ 2.0.0. 2 Documentation for JDemetra+ 2.1.0 3 The ECB plans for migration

  3. New version of JDemetra+ Reference Manual for JDemetra+ 2.0.0 released on Cros portal: Incorporation of remarks reported by SACE members; Revision of a whole document; Enhancements: • New points: pre-processing model, some tests (Box-Pierce, Durbin-Watson, test on autocorrelation on seasonal lags, F-test on seasonal dummies, identification of spectral peaks); • Improved: TRAMO/SEATS description, spectral analysis, benchmarking, specifications. X13-ARIMA-SEATS (mostly graphs); anomaly detection; calendars; document layout, notations, cross-references,… Documentation for JDemetra+ 2.0.0. Report on JDemetra+

  4. Planned to be delivered with a release of JD+ 2.1.0: JDemetra+ Quick Start – no changes necessary or only minor ones; JDemetra+ User Guide– major enhancements to the current version (new case studies, currently omitted functions). Planned to be delivered with a delay: JDemetra+ User Guide– depends on the changes to the interface in comparison with 2.0.0. Documentation for JDemetra+ 2.1.0. Report on JDemetra+

  5. Series SA in DG-S • Monetary statistics (~ 80, monthly) • HICP (~ 50 series, monthly), BOP (~ 15, monthly) • Government Finance Statistics (~ 400, quarterly) • Financial and non-financial sector accounts (~ 200, quarterly) • Car registrations (~ 100 , monthly), industrial new orders (~ 200, quarterly) • Ad-hoc adjustments Strategy for SA • Batch processing and manual fine-tuning (for some datasets) • Revision of specification once a year, when required, or each time new observations are available • A comparison of current versus concurrent adjustment • Software used • Different, outdated versions of the X-12-ARIMA. But well integrated into production environment. SA In the ECB – state of play Report on JDemetra+

  6. Possible scenarios: • A: Migration to JDemetra+ (preferred option) • B: Migration to X-13ARIMA-SEATS • C: Yield to higher priorities: Postpone until necessary resources available Main requirements for an option A: • Reading and writing from/to Fame databases • Maintaining SA specification files (and versions thereof) • Generating reports for the assessment of SA results • Batch processing • Tool to convert SA specifications from X12 (SpecParser) • Additional functionalities in the interface (nice-to-have) Estimated time for an option A – 8 months, 17 person-months The ECB plans for an update of SA software Report on JDemetra+

  7. Kick-off meeting and internal workshops held with SA users Evaluation of JDemetra+ and collection of initial user requirements completed Consultations with other institutions: Bundesbank, Eurostat and the National Bank of Belgium Draft proposal for migration being finalised Next step: Project approval Current Status Report on JDemetra+

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