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New Demetra 2.2 Cristina Calizzani – Unit B5 Jean-Marc Museux – Unit B5

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 D1 Key Indicators for the European policies. Demetra 2.2.

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New Demetra 2.2 Cristina Calizzani – Unit B5 Jean-Marc Museux – Unit B5

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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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