2.1. JDemetra+ Last updates (since 2.0.0)

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Presentation transcript:

2.1. JDemetra+ Last updates (since 2.0.0) Frankfort, 7 July 2015 Jean.palate@nbb.be

Recent improvements (outline) Statistics Core engines Others Graphical interface New plug-ins Other developments Documentation and other resources Github

Statistics (I) Core engines Tramo-Seats X12 All (in test) Correction of bugs Computation of the periodogram (length of the series) Handling of pre-specified regression variables in AMI X12 Update of documents (current adjustment) Improvements Calendar sigma (heteroskedastic irregular by month) Cochran test All (in test) Tracing of the main decisions in AMI

Statistics (II) Periodogram and spectral diagnostics Structural models Improved periodogram tests (with documentation) Corrections in some tests Compatibility with the reference programs Structural models Estimation of cycle components Improved implementation Benchmarking Comparison with reference software (SAS, R…) Corrections in multi-variate Cholette

Statistics (III) Seasonal adjustment of mixed frequencies series Common ARIMA model Canonical decomposition + estimation by KF Nowcasting Dynamic factor models Forecast evaluation tool

Interface Tramo-Seats spec window Temporal disaggregation Improvements (re-ordering…) Temporal disaggregation Improved properties panel Likelihood function Grid, chart containers Many small improvements

New plug-ins (I) Statistical modules Nowcasting (see above) Access to SDMX / .STAT WEB services Compatibility with SDMX 2.1 Data providers SDMX: ECB, Eurostat*… .STAT: NBB, OECD, ABS… Remarks: Lack of standardization in the current implementations

New plug-ins (II) Tutorials Output Data providers Seasonality tests SEATS output … Data providers Random ARIMA series

Other developments Common WEB service for several algorithms SA routines Benchmarking Outliers detection Interface with R Command line tools

Documentation and code on Github See all commits on https://github.com/jdemetra/jdemetra-core https://github.com/jdemetra/jdemetra-app See additional resources on https://github.com/nbbrd Tutorial R Documentation …

Github: monitoring of all modifications

Github: Wiki