Report on the development of JDemetra+ (X-11 part) Status of development, testing and further issues Andreas Lorenz, Deutsche Bundesbank, Statistics Department

Outline 1.Current status of the development of the X-11 part 2.Plug-in for the aggregation and disaggregation of chain indices 3.Testing 4.Open issues 16 June 2014 Page 2 Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (1/3) Arguments of the x11{} spec  seasonalma If a mix of different seasonal filters is specified for some calendar months or quarters and one or more stable filters are used then JDemetra+ (Version 1.4.0) produces different results than the X-11 routine implemented by the US Census Bureau in Win X-13. The issue has been fixed and will be integrated in a coming version of JDemetra+.  calendarsigma Currently, the argument is missing in JDemetra+ (Version 1.4.0). E.g. with the option calendarsigma=all, the standard errors used for extreme value detection and adjustment are computed separately for each month (quarter). 16 June 2014 Page 3 Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (2/3) Arguments of the regression{} spec  centeruser Currently, the argument centeruser=seasonal is missing in JDemetra+ (Version 1.4.0). With this option, means for each calendar month (or quarter) are subtracted from each of the user-defined regressors.  We want to check whether it is feasible to code a plug-in that could do the job of centering regressors in a more flexible manner.  b Currently, it is not possible to specify the values for regression parameters of outliers or calendar regressors. 16 June 2014 Page 4 Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (3/3) Arguments of the regression{} spec  variables Currently, the argument variables=seasonal is missing in JDemetra+ (Version 1.4.0). This option specifies fixed seasonal effects parameterized via s - 1 seasonal contrast variables (s = seasonal period). 16 June 2014 Page 5 Andreas Lorenz, Deutsche Bundesbank

2. Plug-in for aggregating and disaggregating chain indices  Work in progress regarding the implementation of aggregation and disaggregation of chain indices in JDemetra+ on the basis of an existing Excel-Macro (VBA):  migration of the prototype to a plug-in  enhancement of the functionalities, e.g. quarterly overlap  See presentation of Christiane Hofer at the SACC-meeting in May June 2014 Page 6 Andreas Lorenz, Deutsche Bundesbank

3. Testing  Issues in the X-11 part of the current version of JDemetra+ (1.4.0) that have been revealed in previous testing, such as regarding the seasonalma spec, are currently being fixed.  In the meantime, with the assistance of an intern the RegARIMA/TRAMO part of JDemetra+ is being tested and compared with WinX-13 and TSW. These are not “mass tests”, but selected test cases for a variety of time series.  final and sfshort Still need to test and document how these arguments work in JDemetra+. 16 June 2014 Page 7 Andreas Lorenz, Deutsche Bundesbank

4. Open issues  Technical issues regarding the IT infrastructure of the developers at the Bundesbank  See presentation of Jörg Meier at the SACC-meeting in May 2014  Internal release of a new data provider “IBM-host” for the Bundesbank  Further testing and documentation of JDemetra+  Example: How is the final=user argument of the original Census Bureau’s x11{} spec implemented in JDemetra+? The existing menu structure of JD+ suggests more than one plausible choice, whose implications are not immediately clear to the user.  Therefore, we offer contributing to the existing documentation (JD+ User Manual) what we have learned from exploring the “unchartered territory” mentioned above mainly in the realm of the X-11 part and relating to the use of user defined calendar regressors. 16 June 2014 Page 8 Andreas Lorenz, Deutsche Bundesbank