1. JDemetra+: Latest features by the Deutsche Bundesbank
SAEG Meeting, Frankfurt am Main, 15 March 2018
Andreas Lorenz, DG Statistics

2. Development for JDemetra+ release 2.2.1
Outline
Development for JDemetra+ release 2.2.1
Current status of the development of plug-ins
Plug-in KIX
Plug-in ExcelAdapter
Migration to JDemetra+
Promotion of JDemetra+
Outlook
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

3. 1. Development for JDemetra+ release 2.2.1
Task
Status
Fix one or several user-defined calendar variables for RegArima and Tramo, including automated tests
JDemetra+ version (snapshot)
Correct the implementation of the critical value when the time series is too short for the selected filter, including automated tests and reverse engineering
SaItem display the name of the specification for the method if it is saved in the workspace
Diagnostics: matrix now uses all TramoSeats or X13 specifications saved in the workspace, not just the predefined (RSAX)
Neu ist, dass man auch einen Teil der user- defined variables im Calendar fixieren kann,
Bisher war es nur möglich alle oder einen zu fixieren. Diese Aufteilung macht nur bei user-defined variables im Calender Sinn und kann auch daher nur dort verwendet werden.
Bei user-defined variables war diese Aufteilung schon immer möglich.
Zum critical value, hier ist bei unseren Tests gegen WinX13 zu massiven Abweichungen gekommen, daher ist es überhaupt aufgefallen, dass es hier Unterschiede zu WinX1 gibt.
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

4. 2. Current status of the development of plug-ins
Task
Status
KIX plug-in for the Aggregation of chain-linked series
almost completed ( section 3)
SpecParser plug-in for the translation of *.spc files from Census X-12ARIMA to JDemetra+
completed
TransReg plug-in for the transformation of regressors
ConCur plug-in to produce a controlled current adjustment report
ExcelAdapter plug-in for saving calendar and seasonal factors for use with the ConCur plug-in
ongoing ( section 4)
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

5. 3. Plug-in KIX Aggregation and disaggregation chain-linked indices
Idea
Apply a changing weighting structure to component indices for aggregation
Index concepts
Annual overlap
Quarterly overlap
December overlap
Examples
National Accounts
HICP’s
Labour cost indices
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

6. 3. Plug-in KIX Aggregation and disaggregation chain-linked indices
Problem: non-trivial aggregation in case of indirect seasonal adjustment
Aggregation of chain-linked indices with annual overlap or one- month overlap method
Chaining and unchaining of single time series
Lagged growth rate contribution
Solution: Plug-in KIX (=KettenIndeX, German for chain-linked index)
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

7. - Example of a typical use case -
3. Plug-in KIX Example
- Example of a typical use case -
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

8. 3. Plug-in KIX Example: Aggregation of HICP special aggregates
Aggregation of HICP special aggregates (unprocessed food, processed food, industrial goods excluding energy, energy, services)
Input:
Time series of HICP for each special aggregate
Time series of HICP weights for each special aggregate
Output:
Time series of HICP aggregate (all-items)
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

9. 3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d)1 2
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

10. 3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d)4
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

11. [Name=]CLI.PER,index1,[weight1,]+/-,index2,[weight2,]…,refyr
3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d) 5
CLI.PER,i1,w1,+,i2,w2,+,i3,w3,+,i4,w4,+,i5,w5,2015
Command syntax and arguments for chain-linking according to one-period overlap:
[Name=]CLI.PER,index1,[weight1,]+/-,index2,[weight2,]…,refyr
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

12. 3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d)6 7
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

13. Formula input Index data input Weight data input Results
3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d)
Formula input
Index data input
Weight data input
Results
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

14. Summary of the workflow with KIX: Select the KIX node in workspace
3. Plug-in KIX Example: Aggregation of HICP special aggregates (cont’d)
Summary of the workflow with KIX:
Select the KIX node in workspace
Open new KIX document
Drop index data in the index data window
Drop weight data in the weight data window
Enter appropriate command syntax1) in the formula window
Click on the “start calculation” icon
Chain-linked aggregate appears in results window
1) See documentation of KIX plug-in.
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

15. 4. Plug-in ExcelAdapter Controlled current adjustment with Excel as “database” for storing factors
Development motivated by comments from Destatis and aimed as a further alternative for performing controlled current seasonal adjustment with JDemetra+
Should be used as a companion for the ConCur and ConCurReport plug- ins which summarise all relevant information for performing seasonal adjustment with the controlled current adjustment approach
With the ExcelAdapter plug-in, the (previously) forecasted seasonal and calendar factors can be stored to (and read from) Excel
Es gibt ConCur für die UI und ConCurReport für den HTML Output
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

16. 4. Plug-in ExcelAdapter Preparations (1/2)
Specification of data source
It is necessary to switch from the default data source for update to the ExcelConnection in Tools > Options > Demetra > DatasourceUpdateOptions
Default Datasource = Workspace
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

17. 4. Plug-in ExcelAdapter Preparations (2/2)
Creation of metadata
Click on Window>Properties to open an extra window for storing metadata. The following metadata are possible: calendarfactor - Table A6 combined with A7 including forecasts seasonalfactor - D10 including forecasts
Default Datasource = Workspace
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

18. 4. Plug-in ExcelAdapter Example
- Example of a typical use case -
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

19. 4. Plug-in ExcelAdapter Starting point: Controlled concurrent adjustment view (ConCur plug-in)
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

20. 4. Plug-in ExcelAdapter Right-click on series in order to add Excel metadata
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

21. 4. Plug-in ExcelAdapter Right-click on series in order to save factors to Excel file
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

22. 4. Plug-in ExcelAdapter Saved seasonal factors appear as an additional row in D8B-Table
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

23. 4. Plug-in ExcelAdapter One month later (with new data) right click on series to refresh
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

24. 4. Plug-in ExcelAdapter Compare re-estimated seasonal factors with previously extrapolated factors
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

25. 5. Migration to JDemetra+ General aspects
Migration from Census X-12 ARIMA version to JDemetra will not involve a change in the seasonal adjustment method
Existing *.spc-files are translated to JDemetra+ via SpecParser
Changes in models/filters when needed, according to controlled current adjustment strategy
Changeover to JDemetra+ should not cause revisions other than those usually encountered in the context of re-estimating seasonal factors with the X-13 method (confirmed by parallel testing)
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

26. 5. Migration to JDemetra+ Time schedule
Time schedule for 2018
April: Industrial new orders
May: Industrial production
June: Industrial turnover
October: Registered unemployment
Planned for 2019
August: National Accounts
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

27. 5. Migration to JDemetra+ Communication
Dedicated section for JDemetra+ on the Website of the Bundesbank
Seasonal adjustment software and method will be mentioned in the publication tables and in explanatory notes
Information in the Monthly Report of the Bundesbank planned (dedicated box)
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

28. 6. Promotion of JDemetra+
Technical Central Banking course “Seasonal adjustment of economic data”, 4/17 , 5 days, Cemla/Mexico, Andreas Lorenz and Christiane Hofer,
Technical Central Banking course: “Seasonal adjustment of economic data”, 10/17, 5 days, Frankfurt, Karsten Webel and Christiane Hofer
ECB course: “Seasonal Adjustment of Government Finance Statistics with JDemetra+”, 2/18, 3 days, Frankfurt, Karsten Webel and Christiane Hofer
ESTP course: “Introduction to Seasonal adjustment and JDemetra+”, 2/18, 3 days, Luxemburg, Dario Buono and Andreas Dietrich
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

29. Ongoing migration to JDemetra+ 2.2.1
7. Outlook
Ongoing migration to JDemetra
New internal Bundesbank project aimed at deeper integration of JDemetra+ into the production process of seasonal adjustment
Start of work with the sources of JDemetra+ 3.0 and decision regarding what we will and can do
Ongoing courses and conferences
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018

30. Thank you for your attention! Any questions, remarks or
suggestions?
Andreas Lorenz, SAEG Meeting, Frankfurt
15 March 2018