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Using JDemetra+ at STATEC

Using JDemetra+ at STATEC. Véronique Elter 20 th June 2013. Which kind of data is adjusted at Statec?. Quarterly National Accounts (SA, WDA) Turnover (SA, Forecasts) Employment (SA, WDA, Forecasts) Activity indexes in industry and construction (SA, WDA, Forecasts).

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Using JDemetra+ at STATEC

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  1. Using JDemetra+ at STATEC Véronique Elter 20th June 2013

  2. Which kind of data is adjusted at Statec? • Quarterly National Accounts (SA, WDA) • Turnover (SA, Forecasts) • Employment (SA, WDA, Forecasts) • Activity indexes in industry and construction (SA, WDA, Forecasts)

  3. Demetra versions used at Statec • first publication of SA Quarterly Accounts: 3rd quarter 2006 (January 2007) • “old” Demetra (X12) used for SA & WDA until October 2012 (last version used was Demetra 2.2) • then switch to Demetra+ (X12) (version 1.0.4)

  4. Demetra versions used at Statec (2) • switch to JDemetra+ (X13) planned for October 2013, if production version of JDemetra+ is available then, else October 2014 (now testing version JDemetra+ 1.2.0)

  5. Switch to JDemetra+ • planned in October (2013 or 2014) because: • annual data becomes available then, so revisions are expected by the users • parameters are usually fixed in October and kept over the year (Current adjustment), as annual data is regarded more reliable as quarterly data and to prevent too many revisions during the year • advantage of switch in October 2014: • revision of annual accounts, implementation of ESA 2010 and of new CPA, corrections of former data is done by then so revisions are expected by users

  6. Settings used in JDemetra+ • usual RSA 5c (X13) specification but with: • National Calendar for Luxembourg (1 Fixed Holiday, no Easter Related Days, no Fixed Weeks, 11 Special Days) • no use of the weight function (for half-days off, or days off in just one sector of the economy) in the Calendar as this had no effect on the series in our tests • Trading Days and Easter Effect correction • series span from first quarter 1995 on until now; in October 2014 series span will be shortened to the first quarter 2000 (as NACE Rev. 2 data for annual accounts will be available only from 2000 on), but this impact was insignificant in our tests

  7. Handling of JDemetra+ output • important series with Severe or Bad quality are analysed in detail (e.g. P, IC, VAT, Taxes and Subsides, Final consumption expenditure, Gross fixed capital formation, Imports and Exports of Goods and Services, GDP, Total Employment etc.) • other series with Severe or Bad quality are accepted by means of the “Accept Selected Rejected Series” Option in JDemetra+, as time for SA during a QNA compilation is very short

  8. Seasonal adjustment of the aggregates • direct seasonal adjustment, even though this implicates a loss of additivity (chain-linking compromised the additivity anyway) • no benchmarking, as this could distort the series and possibly compromise the adjustments made • non-additivity gap due to CL and SA is minor and users get accustomed to this non-additivity

  9. Treatment of the financial crisis • no manual introduction of outliers, except if the exact reason for the outlier is known (e.g. a major enterprise is shut down) • no separation of the series into 2 series (one before and one after the crisis) as the series after the crisis is too short for a good adjustment

  10. Comparison of Demetra 2.2 and JDemetra+ 1.2.0 • for 86% of the series the results are highly comparable • for 9% of the series, Demetra 2.2 is better • for 5% of the series, JDemetra+ 1.2.0 is better

  11. Comparison of Demetra 2.2 and JDemetra+ 1.2.0 (2) • number of series tested: ≈600 (QNA data) • with “better” meaning significantly higher likelihood • in our tests, series were not smoother with JDemetra+ 1.2.0, but more series were seasonally adjusted (89% to 83%)

  12. Why different results with Demetra 2.2, Demetra+ and JDemetra+? • program choses the “best model”, so the results can be different as the model chosen may be different • (P,D,Q)(BP,BD,BQ) in the ARIMA model have different maximum values for all 3 programs • highly comparable results for a fixed model with all 3 programs

  13. How are those differences communicated to the users? • publication of an explicative note along with the adjusted series, mentioning: • old Demetra is no longer delveloped by Eurostat • JDemetra+ is the new tool • differences between the 2 programs are possible • reason of these differences

  14. How are those differences communicated to the users? (2) • publication of an explicative note along with the adjusted series, mentioning: • extend of these differences (in our case up to 1% of GDP) • history of these differences (graphs, tables) • further information (National User Manual of JDemetra+, so that users can reconstruct adjusted series with JDemetra+) • contact person

  15. Advantages of JDemetra+ • very fast • user-friendly • transparent • many test statistics • better analysis and understanding • good exploration of results

  16. Advantages of JDemetra+ (2) • possibility to add self-made plugins • works with Excel 2010 (.xlsx worksheets can be imported and exported) • easier to change the ARIMA model • better “detailed analysis” module

  17. Disadvantages of JDemetra+ • maximal values of ARIMA model are: (4,2,4)(1,1,1) for JDemetra+, (4,3,4)(1,1,1) for Demetra+ and (3,2,3)(2,1,2) for Demetra 2.2 • difficult to compare different models for the same series • we preferred the export in the same file on a different sheet like in old Demetra 2.2

  18. What still needs to be done at Statec before the switch • every unit at Statec needs to switch to JDemetra+ simultaneously in order to get comparable results • tests on forecasts need to be made • JDemetra+ course needs to be held in-house, but can be extended to researchers and users • explicative note for the users needs to be published

  19. Is JDemetra+ ready for production purposes? • In our opinion YES, but a few things still need to be done: • program doesn’t start, crashes and gets very slow, even though enough memory is available; we think that the problem might be due to the Anti-Virus program checking on Java; this needs to be fixed, because the time for the SAs and WDAs during a QNA exercise is very short (usually 1-2 hours)

  20. Is JDemetra+ ready for production purposes? (2) • In our opinion YES, but a few things still need to be done: • correction of the bug, that the Refresh Current adjustment (partial) option loses the Calendar defined for the first adjustment; this is very important for us, as we use this option for 3 compilations of QNA data; if this bug isn’t fixed we cannot switch to JDemetra+ yet • publication of a User Manual

  21. Questions?

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