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

Outline 1.Current status of the development of the X-11 part 2.Project to use JD+ in Bundesbank 3.Plug-ins: KIX and SpecParser 4.Trainings 07 July 2015 Page 2 Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (1/2) Implementation of missing functionalities:  x11{} spec calendarsigma The different options have been integrated in the development branch of JDemetra+ on github. E.g. with the option calendarsigma=all, the standard errors used for extreme value detection and adjustment are computed separately for each month (quarter).  regression{} spec The argument centeruser = seasonal will be implemented in a BBK-plug-in, in which the means for each calendar month (or quarter) are subtracted from each of the user-defined regressors. 07 July 2015 Page 3 Andreas Lorenz, Deutsche Bundesbank

1. Current status of development of the X-11 part (2/2) Fixing of bugs:  Multi-document: Current adjustment partial The parameters of the ARIMA model where recalculated, even though they shouldn’t. Bug fixed in development branch of JDemetra+  x11{} spec mode=loggadd The calculation of the table a8i is wrong (+ instead of * is used) and this wrong table is used for the next steps. The bugfix has to be tested carefully before we push it to the development branch.  X13.transformation{} AIC Difference is not used Will be fixed in the next weeks and pushed to the development branch. 07 July 2015 Page 4 Andreas Lorenz, Deutsche Bundesbank

2. Project for implementation of JD+ in Bundesbank A project has been initiated with the aim to integrate JDemetra-+ in the production process for seasonal adjustment at the Bundesbank. Expected time horizon: at least two years. Some key deliverables:  Add missing specifications and features in the X-11 and X-12 part, comparison and validation of results and integration in internal processes.  Plug-ins to support the work, work in progress to connect our database.  Cooperation with other institutions (Destatis, ECB, …), e.g. to investigate possibilities for exchange of specifications and data. 07 July 2015 Page 5 Andreas Lorenz, Deutsche Bundesbank

3. Plug-ins for chain indices (KIX) and SpecParser  KIX is work in progress regarding the implementation of aggregation and disaggregation of chain indices in JDemetra+ on the basis of an existing Excel-Macro (VBA).  SpecParser is a plug-in for translating a X-12 Specification to a JDemetra+ Specification and vice versa; prototype is ready, variables and calendars are not finished. 07 July 2015 Page 6 Andreas Lorenz, Deutsche Bundesbank

4. Trainings  An introduction training course was given for seasonal adjustment with X- 13ARIMA-SEATS at CEMLA in Mexico in December At that occasion, we presented JDemetra+ as another program to do seasonal adjustment.  An training course for Seasonal Adjustment of Monetary Data at the Central Bank of the Republic of Turkey will use WinX13 and JDemetra+.  Support the lecture of the ESTP course “JDemetra+ for advanced users and/or hobby developers”. 07 July 2015 Page 7 Andreas Lorenz, Deutsche Bundesbank