Using JDemetra+ at STATEC
Véronique Elter
20th June 2013
Division MAC – Macroeconomic Statistics
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Which kind of data is adjusted at Statec?
• Quarterly National Accounts (SA, WDA)
• Turnover (SA, Forecasts)
• Employment (SA, WDA, Forecasts)
• Activity indexes in industry and construction (SA,
WDA, Forecasts)
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Demetra versions used at Statec
• first publication of SA Quarterly Accounts: 3rd
quarter 2006 (January 2007)
• “old” Demetra (X12) used for SA & WDA until
October 2012 (last version used was Demetra
2.2)
• then switch to Demetra+ (X12) (version 1.0.4)
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Demetra versions used at Statec (2)
• switch to JDemetra+ (X13) planned for October
2013, if production version of JDemetra+ is
available then, else October 2014 (now testing
version JDemetra+ 1.2.0)
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Switch to JDemetra+
• planned in October (2013 or 2014) because:
– annual data becomes available then, so revisions are expected by
the users
– parameters are usually fixed in October and kept over the year
(Current adjustment), as annual data is regarded more reliable as
quarterly data and to prevent too many revisions during the year
• advantage of switch in October 2014:
– revision of annual accounts, implementation of ESA 2010 and of
new CPA, corrections of former data is done by then so revisions
are expected by users
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Settings used in JDemetra+
• usual RSA 5c (X13) specification but with:
– National Calendar for Luxembourg (1 Fixed Holiday, no Easter
Related Days, no Fixed Weeks, 11 Special Days)
– no use of the weight function (for half-days off, or days off in just
one sector of the economy) in the Calendar as this had no effect
on the series in our tests
– Trading Days and Easter Effect correction
– series span from first quarter 1995 on until now; in October 2014
series span will be shortened to the first quarter 2000 (as NACE
Rev. 2 data for annual accounts will be available only from 2000
on), but this impact was insignificant in our tests
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Handling of JDemetra+ output
• important series with Severe or Bad quality are
analysed in detail (e.g. P, IC, VAT, Taxes and
Subsides, Final consumption expenditure, Gross
fixed capital formation, Imports and Exports of
Goods and Services, GDP, Total Employment etc.)
• other series with Severe or Bad quality are
accepted by means of the “Accept Selected
Rejected Series” Option in JDemetra+, as time for
SA during a QNA compilation is very short
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Seasonal adjustment of the aggregates
• direct seasonal adjustment, even though this
implicates a loss of additivity (chain-linking
compromised the additivity anyway)
• no benchmarking, as this could distort the series
and possibly compromise the adjustments made
• non-additivity gap due to CL and SA is minor and
users get accustomed to this non-additivity
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Treatment of the financial crisis
• no manual introduction of outliers, except if the
exact reason for the outlier is known (e.g. a major
enterprise is shut down)
• no separation of the series into 2 series (one
before and one after the crisis) as the series after
the crisis is too short for a good adjustment
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Comparison of Demetra 2.2 and
JDemetra+ 1.2.0
• for 86% of the series the results are highly
comparable
• for 9% of the series, Demetra 2.2 is better
• for 5% of the series, JDemetra+ 1.2.0 is
better
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Comparison of Demetra 2.2 and
JDemetra+ 1.2.0 (2)
• number of series tested: ≈600 (QNA data)
• with “better” meaning significantly higher
likelihood
• in our tests, series were not smoother with
JDemetra+ 1.2.0, but more series were
seasonally adjusted (89% to 83%)
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Why different results with Demetra 2.2,
Demetra+ and JDemetra+?
• program choses the “best model”, so the results
can be different as the model chosen may be
different
• (P,D,Q)(BP,BD,BQ) in the ARIMA model have
different maximum values for all 3 programs
• highly comparable results for a fixed model with
all 3 programs
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How are those differences
communicated to the users?
• publication of an explicative note along with the
adjusted series, mentioning:
– old Demetra is no longer delveloped by Eurostat
– JDemetra+ is the new tool
– differences between the 2 programs are possible
– reason of these differences
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How are those differences
communicated to the users? (2)
• publication of an explicative note along with the
adjusted series, mentioning:
– extend of these differences (in our case up to 1% of GDP)
– history of these differences (graphs, tables)
– further information (National User Manual of JDemetra+, so that
users can reconstruct adjusted series with JDemetra+)
– contact person
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Advantages of JDemetra+
• very fast
• user-friendly
• transparent
• many test statistics
• better analysis and understanding
• good exploration of results
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Advantages of JDemetra+ (2)
• possibility to add self-made plugins
• works with Excel 2010 (.xlsx worksheets can be
imported and exported)
• easier to change the ARIMA model
• better “detailed analysis” module
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Disadvantages of JDemetra+
• maximal values of ARIMA model are:
(4,2,4)(1,1,1) for JDemetra+,
(4,3,4)(1,1,1) for Demetra+ and
(3,2,3)(2,1,2) for Demetra 2.2
• difficult to compare different models for the same
series
• we preferred the export in the same file on a
different sheet like in old Demetra 2.2
Division MAC – Macroeconomic Statistics
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What still needs to be done at Statec
before the switch
• every unit at Statec needs to switch to JDemetra+
simultaneously in order to get comparable results
• tests on forecasts need to be made
• JDemetra+ course needs to be held in-house, but
can be extended to researchers and users
• explicative note for the users needs to be
published
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Is JDemetra+ ready for production
purposes?
• In our opinion YES, but a few things still need to
be done:
– program doesn’t start, crashes and gets very slow, even though
enough memory is available; we think that the problem might be
due to the Anti-Virus program checking on Java; this needs to be
fixed, because the time for the SAs and WDAs during a QNA
exercise is very short (usually 1-2 hours)
Division MAC – Macroeconomic Statistics
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Is JDemetra+ ready for production
purposes? (2)
• In our opinion YES, but a few things still need to
be done:
– correction of the bug, that the Refresh Current adjustment
(partial) option loses the Calendar defined for the first adjustment;
this is very important for us, as we use this option for 3
compilations of QNA data; if this bug isn’t fixed we cannot switch
to JDemetra+ yet
– publication of a User Manual
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Questions?
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