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Demetra 2.2 Update: Key Improvements & Future Developments

Explore the latest Demetra 2.2 release with new features like AUTOMDL, Sliding Span, and improved trading day options. Learn about ongoing improvements, including Quality Diagnostic Module, for better seasonal adjustment tools. Stay informed about the transition to Demetra+ project for enhanced quality diagnostics and maintainability.

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Demetra 2.2 Update: Key Improvements & Future Developments

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  1. Euro-indicators Working Group Luxembourg, 4rd & 5th December 2008 Item 13.1 of the Agenda New Demetra 2.2 Cristina Calizzani – Unit B5 Jean-Marc Museux – Unit B5 Eurostat - Unit D1Key Indicators for the European policies

  2. Demetra 2.2 • New version released on 27th November 2008 available athttp://circa.europa.eu/Public/irc/dsis/eurosam/library?l=/software/demetra_software/version_demetra&vm=detailed&sb=Title • Main features: • Implementation of Tramo Seats version of April 2005 • Implementation of X12Arima 0.3 version of October 2005 • Critical evaluation of Demetra 2.1 (US Census Bureau) • Attempt to better balance the performance of Tramo-Seats and X12Arima; • high priority issues (accessibility of more options and fixing of functionalities previously wrongly implemented in X12) have been fixed

  3. Main improvements (1) • New automatic modelling routine (AUTOMDL) of X-12-ARIMA • AUTOMDL implemented by default in the automated module • AUTOMDL and PICKMDL accessible in the detailed analysis module • Sliding span • Revision history • Closer to X12 approach (AIC and LBQ statistics, seasonal factors) • Changing of some terms in the interface to improve the understanding of Trading day options

  4. Main improvements (2) • Fixed of some residual trading day issues • Some bugs have been fixed in TRAMO/SEATS • Updating of some calendars (Czech Republic and Lithuania) • More detailed information on the improvements of Demetra 2.2 as well as on the list of fixed bugs is available in the library section of the Seasonal Adjustment interest group • Help-desk active on CIRCA

  5. Ongoing improvements • Developing an additional quality diagnostic module (QDM) to complement Demetra application - M statistics - Non parametric tests (Friedman; Kruskal-Wallis; Canova-Hensen) - Measures of roughness of the SA series (Dagum R1 and R2) - Measure of similarity between SA data and trend (R3, Pfefferman ) - Maravall's test for smoothness of trend-cycle and seasonality (Mar1TC, MAR2TC, MARS) - Spectral diagnostics • To be validated by experts before made available • Basis for a full implementation in the new generation of SA tools (Demetra+ project) • quality diagnostics implemented independently from the core engines

  6. Demetra in the future • Complexity to maintain and update Demetra code → not in line with modern programming approaches • Difficult implementing/updating new functionalities into Demetra • No further developments planned (only corrective maintenance) • Starting the development of a new ESS SA tool based on more modern programming techniques. - in line with the ESS guidelines on SA - users' requirements and developers' needs will be fulfilled

  7. Thank you for your attention!

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