1 / 7

ECB Seasonal Adjustment Expert Meeting Report 2015

This report covers the discussion and plans from the ECB/Macroeconomic Statistic Division Seasonal Adjustment Expert Group meeting held on December 07th, 2015 in Luxembourg. It includes topics such as documentation for JDemetra+ versions, migration plans, software updates, and potential migration scenarios. The report details the tools, methodologies, and estimated timelines for the planned updates to the Seasonal Adjustment software at ECB. Consultations with other institutions, user evaluations, and project approval status are also highlighted. Stay informed about the latest developments in seasonal adjustment practices.

estrain
Download Presentation

ECB Seasonal Adjustment Expert Meeting Report 2015

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Report on JDemetra+ Sylwia Grudkowska Henrik Schwartzlose ECB/Macroeconomic Statistic Division Seasonal Adjustment Expert Group Meeting December 07th 2015, Luxembourg

  2. Agenda 1 Documentation for JDemetra+ 2.0.0. 2 Documentation for JDemetra+ 2.1.0 3 The ECB plans for migration

  3. New version of JDemetra+ Reference Manual for JDemetra+ 2.0.0 released on Cros portal: Incorporation of remarks reported by SACE members; Revision of a whole document; Enhancements: • New points: pre-processing model, some tests (Box-Pierce, Durbin-Watson, test on autocorrelation on seasonal lags, F-test on seasonal dummies, identification of spectral peaks); • Improved: TRAMO/SEATS description, spectral analysis, benchmarking, specifications. X13-ARIMA-SEATS (mostly graphs); anomaly detection; calendars; document layout, notations, cross-references,… Documentation for JDemetra+ 2.0.0. Report on JDemetra+

  4. Planned to be delivered with a release of JD+ 2.1.0: JDemetra+ Quick Start – no changes necessary or only minor ones; JDemetra+ User Guide– major enhancements to the current version (new case studies, currently omitted functions). Planned to be delivered with a delay: JDemetra+ User Guide– depends on the changes to the interface in comparison with 2.0.0. Documentation for JDemetra+ 2.1.0. Report on JDemetra+

  5. Series SA in DG-S • Monetary statistics (~ 80, monthly) • HICP (~ 50 series, monthly), BOP (~ 15, monthly) • Government Finance Statistics (~ 400, quarterly) • Financial and non-financial sector accounts (~ 200, quarterly) • Car registrations (~ 100 , monthly), industrial new orders (~ 200, quarterly) • Ad-hoc adjustments Strategy for SA • Batch processing and manual fine-tuning (for some datasets) • Revision of specification once a year, when required, or each time new observations are available • A comparison of current versus concurrent adjustment • Software used • Different, outdated versions of the X-12-ARIMA. But well integrated into production environment. SA In the ECB – state of play Report on JDemetra+

  6. Possible scenarios: • A: Migration to JDemetra+ (preferred option) • B: Migration to X-13ARIMA-SEATS • C: Yield to higher priorities: Postpone until necessary resources available Main requirements for an option A: • Reading and writing from/to Fame databases • Maintaining SA specification files (and versions thereof) • Generating reports for the assessment of SA results • Batch processing • Tool to convert SA specifications from X12 (SpecParser) • Additional functionalities in the interface (nice-to-have) Estimated time for an option A – 8 months, 17 person-months The ECB plans for an update of SA software Report on JDemetra+

  7. Kick-off meeting and internal workshops held with SA users Evaluation of JDemetra+ and collection of initial user requirements completed Consultations with other institutions: Bundesbank, Eurostat and the National Bank of Belgium Draft proposal for migration being finalised Next step: Project approval Current Status Report on JDemetra+

More Related