JDemetra+: Latest features by the Deutsche Bundesbank SAEG Meeting, Frankfurt am Main, 15 March 2018 Andreas Lorenz, DG Statistics

Development for JDemetra+ release 2.2.1 Outline Development for JDemetra+ release 2.2.1 Current status of the development of plug-ins Plug-in KIX Plug-in ExcelAdapter Migration to JDemetra+ Promotion of JDemetra+ Outlook Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

1. Development for JDemetra+ release 2.2.1 Task Status Fix one or several user-defined calendar variables for RegArima and Tramo, including automated tests JDemetra+ version 2.2.1 (snapshot) Correct the implementation of the critical value when the time series is too short for the selected filter, including automated tests and reverse engineering SaItem display the name of the specification for the method if it is saved in the workspace Diagnostics: matrix now uses all TramoSeats or X13 specifications saved in the workspace, not just the predefined (RSAX) Neu ist, dass man auch einen Teil der user- defined variables im Calendar fixieren kann, Bisher war es nur möglich alle oder einen zu fixieren. Diese Aufteilung macht nur bei user-defined variables im Calender Sinn und kann auch daher nur dort verwendet werden. Bei user-defined variables war diese Aufteilung schon immer möglich. Zum critical value, hier ist bei unseren Tests gegen WinX13 zu massiven Abweichungen gekommen, daher ist es überhaupt aufgefallen, dass es hier Unterschiede zu WinX1 gibt. Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

2. Current status of the development of plug-ins Task Status KIX plug-in for the Aggregation of chain-linked series almost completed ( section 3) https://github.com/bbkrd/KIX SpecParser plug-in for the translation of *.spc files from Census X-12ARIMA to JDemetra+ completed https://github.com/bbkrd/SpecParser TransReg plug-in for the transformation of regressors https://github.com/bbkrd/TransReg ConCur plug-in to produce a controlled current adjustment report https://github.com/bbkrd/ConCur ExcelAdapter plug-in for saving calendar and seasonal factors for use with the ConCur plug-in ongoing ( section 4) https://github.com/bbkrd/ExcelAdapter Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

3. Plug-in KIX Aggregation and disaggregation chain-linked indices Idea Apply a changing weighting structure to component indices for aggregation Index concepts Annual overlap Quarterly overlap December overlap Examples National Accounts HICP’s Labour cost indices Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

3. Plug-in KIX Aggregation and disaggregation chain-linked indices Problem: non-trivial aggregation in case of indirect seasonal adjustment Aggregation of chain-linked indices with annual overlap or one- month overlap method Chaining and unchaining of single time series Lagged growth rate contribution Solution: Plug-in KIX (=KettenIndeX, German for chain-linked index) Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

- Example of a typical use case - 3. Plug-in KIX Example - Example of a typical use case - Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

3. Plug-in KIX Example: Aggregation of HICP special aggregates Aggregation of HICP special aggregates (unprocessed food, processed food, industrial goods excluding energy, energy, services) Input: Time series of HICP for each special aggregate Time series of HICP weights for each special aggregate Output: Time series of HICP aggregate (all-items) Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) 1 2 Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) 4 Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

[Name=]CLI.PER,index1,[weight1,]+/-,index2,[weight2,]…,refyr 3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) 5 CLI.PER,i1,w1,+,i2,w2,+,i3,w3,+,i4,w4,+,i5,w5,2015 Command syntax and arguments for chain-linking according to one-period overlap: [Name=]CLI.PER,index1,[weight1,]+/-,index2,[weight2,]…,refyr Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) 6 7 Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

Formula input Index data input Weight data input Results 3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) Formula input Index data input Weight data input Results Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

Summary of the workflow with KIX: Select the KIX node in workspace 3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) Summary of the workflow with KIX: Select the KIX node in workspace Open new KIX document Drop index data in the index data window Drop weight data in the weight data window Enter appropriate command syntax1) in the formula window Click on the “start calculation” icon Chain-linked aggregate appears in results window 1) See documentation of KIX plug-in. Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Controlled current adjustment with Excel as “database” for storing factors Development motivated by comments from Destatis and aimed as a further alternative for performing controlled current seasonal adjustment with JDemetra+ Should be used as a companion for the ConCur and ConCurReport plug- ins which summarise all relevant information for performing seasonal adjustment with the controlled current adjustment approach With the ExcelAdapter plug-in, the (previously) forecasted seasonal and calendar factors can be stored to (and read from) Excel Es gibt ConCur für die UI und ConCurReport für den HTML Output Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Preparations (1/2) Specification of data source It is necessary to switch from the default data source for update to the ExcelConnection in Tools > Options > Demetra > DatasourceUpdateOptions Default Datasource = Workspace Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Preparations (2/2) Creation of metadata Click on Window>Properties to open an extra window for storing metadata. The following metadata are possible: calendarfactor - Table A6 combined with A7 including forecasts seasonalfactor - D10 including forecasts Default Datasource = Workspace Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Example - Example of a typical use case - Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Starting point: Controlled concurrent adjustment view (ConCur plug-in) Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Right-click on series in order to add Excel metadata Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Right-click on series in order to save factors to Excel file Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Saved seasonal factors appear as an additional row in D8B-Table Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter One month later (with new data) right click on series to refresh Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

4. Plug-in ExcelAdapter Compare re-estimated seasonal factors with previously extrapolated factors Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

5. Migration to JDemetra+ General aspects Migration from Census X-12 ARIMA version 0.2.8 to JDemetra+ 2.2.1 will not involve a change in the seasonal adjustment method Existing *.spc-files are translated to JDemetra+ via SpecParser Changes in models/filters when needed, according to controlled current adjustment strategy Changeover to JDemetra+ should not cause revisions other than those usually encountered in the context of re-estimating seasonal factors with the X-13 method (confirmed by parallel testing) Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

5. Migration to JDemetra+ Time schedule Time schedule for 2018 April: Industrial new orders May: Industrial production June: Industrial turnover October: Registered unemployment Planned for 2019 August: National Accounts Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

5. Migration to JDemetra+ Communication Dedicated section for JDemetra+ on the Website of the Bundesbank Seasonal adjustment software and method will be mentioned in the publication tables and in explanatory notes Information in the Monthly Report of the Bundesbank planned (dedicated box) Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

6. Promotion of JDemetra+ Technical Central Banking course “Seasonal adjustment of economic data”, 4/17 , 5 days, Cemla/Mexico, Andreas Lorenz and Christiane Hofer, Technical Central Banking course: “Seasonal adjustment of economic data”, 10/17, 5 days, Frankfurt, Karsten Webel and Christiane Hofer ECB course: “Seasonal Adjustment of Government Finance Statistics with JDemetra+”, 2/18, 3 days, Frankfurt, Karsten Webel and Christiane Hofer ESTP course: “Introduction to Seasonal adjustment and JDemetra+”, 2/18, 3 days, Luxemburg, Dario Buono and Andreas Dietrich Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

Ongoing migration to JDemetra+ 2.2.1 7. Outlook Ongoing migration to JDemetra+ 2.2.1 New internal Bundesbank project aimed at deeper integration of JDemetra+ into the production process of seasonal adjustment Start of work with the sources of JDemetra+ 3.0 and decision regarding what we will and can do Ongoing courses and conferences Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018

Thank you for your attention! Any questions, remarks or suggestions? Andreas Lorenz, SAEG Meeting, Frankfurt 15 March 2018