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JDemetra+ 1.3.2

JDemetra+ 1.3.2. Paris , 18/10/2013. Outline. Recent developments Statistics IT Code, documentation Ongoing actions Statistics IT Code, documentation. Recent developments. Statistics Tramo-Seats: integration of recent improvements (9/2013) in the core engines

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JDemetra+ 1.3.2

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  1. JDemetra+ 1.3.2 Paris, 18/10/2013 NBB

  2. Outline • Recent developments • Statistics • IT • Code, documentation • Ongoing actions • Statistics • IT • Code, documentation NBB

  3. Recent developments • Statistics • Tramo-Seats: integration of recent improvements (9/2013) in the core engines • Preliminary seasonality tests (see below) • Log/level: new threshold • Calendar effects: automatic detection of WD/TD (likelihood ratio tests); new Easter regression variable • Outliers detection: new default critical value (higher →less outliers) NBB

  4. Final controls of the model • Under/over differencing (regular or seasonal), benchmarking with airline • New approximation of non decomposable models • Analysis of the errors/revisions • X13 • Unchanged • Enhanced seasonality tests (TramoSeats / X13) • Original (transformed) series (Tramo) • Linearized series (Tramo) • Residuals (Tramo) • Combined seasonality tests(X13) • Seasonally adjusted series (Tramo) • Irregular series (Tramo) • Residual seasonality (X13) NBB

  5. New seasonality tests NBB

  6. SA Diagnostics • Small changes (thresholds in Seats diagnostics) • Others • Calendarization • "Transforming values from flow series observed over time varying intervals into other (regular) intervals". See recent papers of Quenneville ... • Algorithms only • Temporal disaggregation/benchmarking • Designed for the Belgium QNA • Chow-Lin, Fernandez... • Multi-variateCholette's method, with heterogeneous constraints NBB

  7. Multi-variate Cholette NBB

  8. IT • Correction of numerous bugs • Compatibility with Java 7[.25] • WEB service (bridge to .NET, Excel...) • Time series providers • Improvement of the reading of Excel files (dates...) • Compatibility with TSW files (non Excel) • Improvement of the main graphical containers • Charts: position of the dates, forecasts, tooltips... • Tables: presentation of single series, formatting... NBB

  9. Improvedgraphical components NBB

  10. Documentation • Documentation of the API (recurrent) • JoinUp (http://joinup.ec.europa.eu/software/sat) NBB

  11. Ongoing actions • Statistics • TramoSeats • Revision analysis (complement) (12/2013) • Outliers detection + "Terror" • New plug-in (12/2013) • Common (SA) features • Revisions history (Demetra+-like) (12/2013) • Others • Calendarization: graphical interface (12/2013) NBB

  12. Advanced econometric tools (NBB needs): • Advanced methods for temporal disaggregation (3/2014) • Dynamic factor models (NBB tool for "nowcasting")(3/2014) • ... • IT • .NET libraries calling the JDemetra+ engine (via a WEB service) (12/2013) • ?? New version of Demetra+??: Demetra+ interface with Java processing (?) • Excel Add-ins (12/2013) • Fixing of known issues • Memory leaks in JD+ (graphical interface) • ... NBB

  13. New release (1.4) for Java 7 (December 2013) • Java 6 no longer supported by Oracle. • Integration of new features (seeabove) • Documentation (recurrent) • Technical description of the main statistical/mathematical methods. • Enrichment of SAT on JoinUp • Wiki • Examples NBB

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