The NBB time series toolkit Towards a seasonal adjustment framework

NBB TS toolkit. Goals Functional –Providing solutions in the time series domain, for the production and the analysis of official statistics Outliers detection, forecasting, missing values estimation, seasonal adjustment, benchmarking, temporal disaggregation, retropolation, cycle detection... IT –Fast and coherent developments, for a variety of contexts from batch processing to advanced graphical interfaces integration in commercial software or in in-house developments

NBB TS toolkit. Description Based on standard technologies –[COM/C++],.NET, Java Design –Fine granularity (> 500 classes) From low-level entities to high-level modules. –No direct connection with specific data sources Portable solution Separate modules to access DBs Not a ready-made solution but a set of reusable object-oriented components in the time series domain

–Strict splitting of the different layers

SA Framework. Context Seasonal Adjustment Steering Group (SASG, ECB- Eurostat) –Guidelines and recommendations for the ESS. IT sub-group of the SASG (9/2007) –Replacement of DEMETRA –Goals of the new software Should reflect the recommandations of the SASG Open (extensible, reusable), modular solution Portable (not linked to a specific configuration) Based on the current core engines (Tramo-Seats and X13) Common modules (analysis, presentation, reports...) for both algorithms –New architecture: similar to the NBB TS library

SA Framework. Architecture TRAMO-SEATS (FORTRAN) BDE X13 (FORTRAN) USCB CORE CONCEPTS NBB TS library SEASONAL ADJUSTMENT MODULES (ANALYSIS, AUXILIARY ALGORITHMS) NBB, any other NSI, NCB, outsourcing SEASONAL ADJUSTMENT USER'S INTERFACES (PRESENTATION, FORMATTING) NBB, any other NSI, NCB, outsourcing User interface toolkit DATABASES CONNECTIONS Any NSI, NCB, outsourcing EXCEL ADD-INS"NEW DEMETRA"STAND-ALONE APPLICATIONS Low-level algorithms High-level econometric libraries Final applications

SA Framework. Responsabilites Specifications –Users' requirements, SA recommendations SASG Developments –Core engines Bank of Spain, US Census Bureau (NBB for the COM interface) –Auxiliary modules NBB (current TS library), other NSIs, NCBs..., Outsourcing –Final applications(s) Outsourcing Organization, logistics: Eurostat

Challenges Stable core API (Object-model) Testing (accuracy of the algorithms, reusability of the design) Versioning Documentation - Education - Users' community Open source solution (?)

Concluding remarks An IT solution based on reusable OO components is a valuable approach in the statistical domain (see NBB library). The building of a common seasonal adjustment framework, using a similar approach and with the collaboration of several entities, is a challenging attempt.