Advanced Tools for Time Series Analysis and Seasonal Adjustment in the New JDemetra+

• Activity Number: 523
• Type: Topic Contributed
• Date/Time: Wednesday, August 7, 2013 : 10:30 AM to 12:20 PM
• Sponsor: Business and Economic Statistics Section
• Author(s): Sylwia Grudkowska*+ and Dario Buono and Jean Palate and Wojciech Ciebiera
• Companies: National Bank of Poland and European Commission and National Bank of Belgium and National Bank of Poland
• Keywords: Seasonal adjustment ; Time series ; Tramo-Seats ; Statistical tools ; X-13-Arima-Seats

Abstract

JDemetra+ is a new open source tool for seasonal adjustment (SA) that enables the implementation of a revised ESS Guidelines on SA. It has been developed to provide a set of reusable and extensible components, following a standard technology, compatible with the environment of most European statistical institutions. JDemetra+ is not only a user-friendly graphical interface, comparable to its predecessor, Demetra+, but also a set of open Java libraries that can be used to deal with time series related issues like the SA processing of large-scale data sets, non-standard SA methods, the development of advanced research modules, temporal disaggregation, benchmarking and business cycle analysis. JDemetra+ is built around the concepts and the algorithms used in the two leading SA methods, i.e. Tramo-Seats and X12-Arima/X13-Arima-Seats. They have been reengineered, following an object-oriented approach, that allows for easier handling, extensions or modifications. The paper aims to describe the architecture of JDemetra+ and to present its main functionalities: benchmarking, temporal disaggragation, seasonality tests and a tool for comparing the direct vs. the indirect approach.