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JDemetra + (1.2.1). Luxembourg, 16/4/2013. What's new ?. Data providers IT improvements Methodological improvements. Data providers. SDMX .STAT (OECD) compatible Automatic change of frequency Excel, ODBC... Optimization Caching... Plug-ins Access databases

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jdemetra 1 2 1

JDemetra+ (1.2.1)

Luxembourg, 16/4/2013

what s new
What's new ?
  • Data providers
  • IT improvements
  • Methodological improvements
data providers
Data providers
  • SDMX
    • .STAT (OECD) compatible
  • Automatic change of frequency
    • Excel, ODBC...
  • Optimization
    • Caching...
  • Plug-ins
    • Access databases
      • File-based (Access not needed)
    • Random Arima
    • SAS
it improvements
IT improvements
  • Correction of bugs, improvements of many features
    • Workspaces (storage...)
    • Graphical components (charts, grids...)
    • Properties Window
    • ...
  • Calendars and user-defined variables (graphical interface)
    •  Demetra+ (not yet in the cruncher)
methodological improvements
Methodological improvements
  • X11
    • Diagnostics
  • Calendars
    • Documentation
  • Arima estimation
    • Stdev of parameters ( + scores)
    • Optimisation procedure
optimisation procedure
Optimisation procedure
  • Problem:
    • The likelihood function of complex models (AR and MA parameters) have often several local maxima.
    • Tramo, X12 and JD+(1.1.0) can lead to different solutions
    • No "best" solution (with acceptable performances)
    • The solution is more dependant on the starting point than on the Levenberg-Marquardt variant.
  • Solution in 1.2.1
    • Several starting points
consequences
Consequences
  • Comparison is not so simple
  • Impact of the estimation problem on the whole AMI
    • Differencing: (1 x 1)(1 x 1)
    • Arma identification
    • Last resort model (3 1 1)(0 1 1)
  • Comparability depends on the set of series:
    • Simple models (airline...) -> Highly comparable results
    • Complex models -> Many different results
next steps
Next steps
  • Tramo-Seats
    • Integration of the last modifications of the core engine.
  • ?