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JDemetra + (1.2.1)

JDemetra + (1.2.1). Luxembourg, 16/4/2013. What's new ?. Data providers IT improvements Methodological improvements. Data providers. SDMX .STAT (OECD) compatible Automatic change of frequency Excel, ODBC... Optimization Caching... Plug-ins Access databases

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JDemetra + (1.2.1)

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  1. JDemetra+ (1.2.1) Luxembourg, 16/4/2013

  2. What's new ? • Data providers • IT improvements • Methodological improvements

  3. Data providers • SDMX • .STAT (OECD) compatible • Automatic change of frequency • Excel, ODBC... • Optimization • Caching... • Plug-ins • Access databases • File-based (Access not needed) • Random Arima • SAS

  4. IT improvements • Correction of bugs, improvements of many features • Workspaces (storage...) • Graphical components (charts, grids...) • Properties Window • ... • Calendars and user-defined variables (graphical interface) •  Demetra+ (not yet in the cruncher)

  5. Methodological improvements • X11 • Diagnostics • Calendars • Documentation • Arima estimation • Stdev of parameters ( + scores) • Optimisation procedure

  6. Optimisation procedure • Problem: • The likelihood function of complex models (AR and MA parameters) have often several local maxima. • Tramo, X12 and JD+(1.1.0) can lead to different solutions • No "best" solution (with acceptable performances) • The solution is more dependant on the starting point than on the Levenberg-Marquardt variant. • Solution in 1.2.1 • Several starting points

  7. [1] "Better" means significantly higher likelihood (and thus different estimates).

  8. Estimation for a (3 1 1)(0 1 1) model

  9. Tramo-Seats and JD+. SA series based on the same model (different parameters estimation)

  10. Consequences • Comparison is not so simple • Impact of the estimation problem on the whole AMI • Differencing: (1 x 1)(1 x 1) • Arma identification • Last resort model (3 1 1)(0 1 1) • Comparability depends on the set of series: • Simple models (airline...) -> Highly comparable results • Complex models -> Many different results

  11. Next steps • Tramo-Seats • Integration of the last modifications of the core engine. • ?

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