Migration to JDemetra+

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Presentation transcript:

Migration to JDemetra+ Susanne Stollenmayer, Nina Gonschorreck

Agenda Motivation Details Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Agenda Motivation Details Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Eurostat and ECB recommendation “The Seasonal Adjustment Steering Group decided at its meeting in December 2014 that JDemetra+ will be recommended, as of 2 February 2015, as software for conducting seasonal adjustment of official statistics within ESS and ESCB.” Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Manual migration X-12-ARIMA JDemetra+ (GUI) Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Automated migration (1/3) 2 3 Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Automated migration (2/3) 4 5 Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Automated migration (3/3) 6 Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Agenda Motivation Details Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Translation Report Errors No data for time series No seasonal adjustment possible Warnings Specification part or argument not supported Results in original software can be differently Messages - Value is wrong for an argument Empty No messages, warnings or errors Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Specification Parts Specification Support ARIMA AUTOMDL CHECK COMPOSITE / ESTIMATE FORCE FORECAST HISTORY METADATA IDENTIFY OUTLIER PICKMDL REGRESSION SEATS SERIES SLIDINGSPANS SPECTRUM TRANSFORM X11 X11REGRESSION Explanation translatable untranslatable Always in JD+ Plugin Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

User defined regression variables Here are the regressors in the spc file: REGRESSION { file = ‘myRegressors.dat’ user = (reg1 reg2 reg3 reg4) usertype = (td user ls seasonal) # final = user } Where do you find the regressors in the JD+? Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Thank you Contact Deutsche Bundesbank Central Office Statistics Department Wilhelm-Epstein-Strasse 14 60431 Frankfurt am Main, Germany E-mail: jdemetra@bundesbank.de Available at: https://github.com/bbkrd/SpecParser Spec - abbreviation for ‘specification’ (sounds like the German word for bacon) Parser - technical term for cut, separate and analyse input Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016

Appendix Component type allocation of regression variables Spc-file JD+ Spec Component Table usertype = td - A6 usertype = user #final = user A8i final = user A9ser usertype = seasonal A8s usertype = ls A8t Susanne Stollenmayer, Nina Gonschorreck, CESS Budapest 20 October 2016