Eurostat tools for Benchmarking and Seasonal adjustment JDemetra+ and JEcotrim

byDario BUONO, Ph.D. Eurostat, European Commission, LuxembourgMacroeconomic Imbalances Procedure team

IASC satellite conference on "Big data and computational statistics"

August 22nd 2013, 13:45, Seoul, Korea

SESSION SS2R5: Practical Issues in Chain Linking and Benchmarking

Objective

Inform the about the Eurostat IT tools available for Seasonal Adjustment and Benchmarking and Temporal Disaggregation

No methodological issues will be addressed Summary information on JDEMETRA+ with briefing on

the ESS guidelines on Seasonal Adjustment Summary information on JECOTRIM User support provided by Eurostat

Q & A

Content

Recall of seasonal adjustment issue; An overview of the seasonal adjustment software; IT solutions for SA software; The role of Eurostat; JDemetra+;

– Aims of the project, Functionalities, Advantages; JEcotrim: a plugin of JDEMETRA+

What is Seasonal Adjustment?

SEASONALADJUSTMENT Fluctuations observed during the year (each

month, each quarter) and which appear to repeat themselves on a more or less regular basis from one year to the other

Remove Seasonality

Seasonality:

What happens after SA?Original and Seasonally Adjusted series

Original Series

What happens after SA?Original and Seasonally Adjusted series

The series has been cleaned!!

Seasonally Adjusted series

What happens after SA?Growth Rates

Original Series1

1

t

tt X

XG

What happens after SA?Growth Rates

Seasonally Adjusted series1

1

t

tt X

XG

Leading seasonal adjustment software – a quick review The main SA programs are:

– TSW – the Windows application, developed by Bank of Spain, that integrates the TRAMO and the SEATS programs;

– X-12-ARIMA and X-13ARIMA-SEATS – the programs produced by the U.S. Census Bureau, that include X-12-ARIMA method

• (X-13ARIMA-SEATS is also capable to generate ARIMA model-based SA).

Both written in a FORTRAN language.

Seasonal adjustment software from an IT perspective The algorithms written originally in FORTRAN might be

applied to solve time series related issues, but are not designed for reusability;

In case of introduction of the new functionality, the actual programs are modified;

Uncertain future of the FORTRAN language; – Lack of developers;– Not a strictly object-oriented language.

Eurostat’s scopes in area of SA

Eurostat aims to:– Promote the idea of seasonal adjustment; – Ease an access of non-specialists to TRAMO/SEATS and

X-12-ARIMA (X-13ARIMA-SEATS);– Converge towards a harmonised process for seasonally

and calendar adjustment practices.

SA software promoted by Eurostat

Demetra (2002);– Initially successful because of its user-friendliness;

Demetra+ (2010);– Implementation of the ESS Guidelines on SA;– Provides graphical interface and common input/output

diagnostics for TRAMO/SEATS and X-12-ARIMA;– Includes complex technical solutions. Cannot be used under

IT environments other than Windows (.NET) technology; JDemetra+ (2012);

– Fortran codes re-written in JAVA using NetBeans. JECOTRIM (2013) as plug in of JDEMETRA+

What is JDEMETRA+?

JDEMETRA+ is a new tool for Seasonal and Calendar Adjustment developed by NBB and EUROSTAT

Identify more components

Trend-Cycle Component

Outliers

Irregular Component

New tool new issue!!

Maintenance of the tool in the long-term; Integration of the libraries in the IT environments of

many institutions (portability issue of Demetra+.NET); Re-use of the modules/algorithms for other

purposes.

Aims of the current project Provide a tool for SA which:

– Is flexible, i.e.:• encompasses the leading SA algorithms;• could evolve independently when improvements or alternative

methods appear.– Is versatile, i.e. can be:

• used in a rich graphical interface (JDemetra+ itself); • integrated in other (in-house) developments. 

– Consists of modules that can be reuse in the other circumstances;– Is an open source, and therefore may increase the transparency

of statistical computation and contribute to a better sharing of the statistical knowledge.

JDemetra+ functionalities SA methods:

– TRAMO/SEATS;– X-13ARIMA-SEATS;– X-12-ARIMA;– Structural models;– Mixed Airline;– Generalised Airline.

SA tools:– Seasonality tests; – Direct/indirect comparison;– Calendars with weights on holidays.

Other tools:– Benchmarking (JEcotrim);– Temporal disaggregation (JECOTRIM);

Advantages of JDemetra+ Efficient process of large datasets; A user-friendly graphical interface. Possibility for different teams to progressively take over

the software or to contribute to its evolution. Core engines rewritten in Java, by NetBeans platform:

– supported by almost all IT operating systems;– that allows for easy extensions (plug-ins) and

improvements;

Future plans Modification and extension of the code, e. g.;

– Modification of existing functionalities; – New data providers due to genetic serialization

functionality;– Additional diagnostics and output;– New seasonal adjustment methods (using batch

processing).– Plug in for revision analysis– Plugin for business cycle analysis

ESS Guidelines on SA

Introduced in 2009

Chapters subdivided into specific items describing different steps of the SA process

Items presented in a standard structure providing:1. Description of the issue2. List of options which could be followed to perform the step3. Prioritized list of three alternatives from most recommended one to the

one to avoid (A, B and C)4. Concise list of main references

Added value:1. Conceptual framework and practical implementation steps2. Both for experienced users and beginners

http://epp.eurostat.ec.europa.eu/cache/ITY_OFFPUB/KS-RA-09-006/EN/KS-RA-09-006-EN.PDF

JECOTRIM: un update of ECOTRIM

ECOTRIM contains procedures based on temporal disaggregation, benchmarking, reconciliation of low frequency series and matrix balancing via complex mathematical and statistical methods.

Ecotrim was developed in C++ (for Windows) by Eurostat JEcotrim can be defined simply as an upgrade of Ecotrim

– Correction of some bugs– New methods– Plugged to Jdemetra

Definition

Temporal Disaggregation– Process of deriving high frequency data from low

frequency data and, if available, related high frequency information

Temporal Disaggregation techniques are useful in compiling short-term statistics: Quarterly National Accounts (QNA)

Give a quarterly breakdown of the figures in the annual accounts

Flash estimatesUse the available information in the best possible way including, in the framework of a statistical model, the short-term available information and the low frequency data in a coherent way

Monthly indicators of GDPThe monthly estimates are derived from the available information respecting the coherence with quarterly data

Basic principles

Distribution– When annual data are either sums or averages of

quarterly data (e.g., GDP, consumption, indexes and in general all flow variables and all average stock variables)

Interpolation– When annual value equals by definition that of the fourth

(or first) quarter (e.g., population at the end of the year, money stock, and all stock variables)

Extrapolation– When estimates of quarterly data are made when the

relevant annual data are not yet available

Estimates have to be consistent and coherent

Temporal consistency– Quarterly values have to match annual values (for

example the sum of quarterly values of the GDP must be equal to the annual value)

Accounting coherence– Quarterly components of an account should respect the

accounting constraints (for example, the sum of quarterly values of the GDP expenditure side components should be equal to the corresponding quarterly value of GDP)

Temporal Disaggregation and Benchmarking available in JEcotrim Univariate Approach (temporal Benchmarking)

– Modified Denton, – Chow-Lin, Fernández,Litterman

Multivariate Approach (accounting Benchmarking)– RAS-PM– Two-Step reconciliation

Webpages on JDEMETRA+ and JEcotrim

You can download the latest version of the tools at

http://www.cros-portal.eu/content/seasonal-adjustment

Together with: ESS guidelines on Seasonal AdjustmentUser Manual and other documentsHelp-Desk e-mail: estat-methodology@ec.europa.euInformation about the EUROSTAT ESTP Training Course

Questions?