Evolution de JDemetra+ - INSEE.pdfEvolution de JDemetra+ Paris, 24 octobre 2016 Outline • JD+...
Transcript of Evolution de JDemetra+ - INSEE.pdfEvolution de JDemetra+ Paris, 24 octobre 2016 Outline • JD+...
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Evolution de JDemetra+Paris, 24 octobre 2016
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Outline
• JD+ releases• JD+ 3.0
• Overview• Common REGARIMA modelling• High-frequency series
• Final remarks
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1. JD+ releases
Versions Schedule
2.0 1/2015
2.1 4/2016
2.2 Q2/2017
3.0 Q4/2018 (?)
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2.1 Towards JD+ 3.0
• IT aspects• Java 8 • WEB services, R interface, batch « language » (?)
• Simplification of the design
• Generalization of extension points• Graphical interface • I/O• Algorithms
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2.1 Towards JD+ 3.0 (and higher)
• Statistical aspects• High-frequency time series
• Weekly, daily, …• Equally spaced observations, random observations (?)
• Seasonal adjustment• Common REGARIMA modelling• Decomposition/filtering
• Extension to high-frequency series• X11: alternative filters
• Structural time series• STL (?)
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2.1 Towards JD+ 3.0
• Statistical/numerical aspects(cont.)• Low-level
• New state space framework• More robust algorithms (-> high-frequency series…)
• High-level• Chain linking (Bundesbank)• Temporal disaggregation and benchmarking (SACE, Jecotrim-like)• Revisions analysis (SACE)• Nowcasting (NBB)
• Detailed statistical documentation
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2.2 Common REGARIMA pre-processingGeneral approach
• Common regression model• Common estimation procedure• Decomposition of the algorithm in independant blocks
• Comparison of Tramo/X13 + alternative implementations• Systematic testing
• Simulated series• Real series
• Overall performance• Criterions (fit, forecasts, residuals, …)
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InitializationSeasonality tests Log/level Regression
(TD, Easter…)
Outliersdetection
Differencing Arma identification
Final estimation
Model checks
2.2 Common REGARIMA pre-processing. Main blocks
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2.2 Common REGARIMA pre-processing(cont.)• Initial seasonality tests
• Systematic analysis of different tests (Ljung-Box, non-parametric, spectral diagnostics, regression-based…)
• Log/level tests• Likelihood-based (handling of outliers?)• Robust tests (range-mean test…)
• Calendar tests• Parsimonious trading days (with automatic identification)• Richer moving holidays variables
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2.2 Common REGARIMA pre-processing(cont.)• Outliers detection
• Approximate approach (Tramo)• Exact approach (X13)• Alternative approach (Kalman smoother)• Extension to other models
• ARIMA identification• Approximate approach (Tramo)• Exact approach (X13)
• Model validation• Tramo-like
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Example:
50%55%60%65%70%75%80%85%90%95%
100%
P Q BP BQ ALL
ARMA Modelling (Tramo/X12)(% identical results, German industrial production, 334 series)
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2.3 High-frequency series
• Adaptation of Tramo-Seats to weekly and daily series• Many challenges
• Theoretical• Technical
• Numerical problems• Performances• Memory constraints
• Presentation
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Births inFrance (daily observations)
• From 1/1/68 to 31/12/2014 (17.168 obs)
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Births inFrance (daily observations)
• From 1/1/68 to 31/12/2014 (17.168 obs)
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Births inFrance (spectral analysis)
• Differenced series
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Births inFrance (spectral analysis)
• Differences at lag 7
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Arima modelling
• = =
• = , =
• Weekly example• Average number of weeks by year: 365.25/7 52.18• = 0.82 0.18
• Daily example• = 0.75 0.25
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Extended airline models for weekly and dailyseries• =• =
• . = ..
• . = ..
• Modified airline:• Better fit• More stable seasonal components
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Properties of the filters
00.10.20.30.40.50.60.70.80.9
1
Squared gain function (modified airline, weekly SA)
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Births inFrance (main components)
1200
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14
Y SA T
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Births inFrance (components)
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Births inFrance (components)
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Weekly US claims
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Final remarks on JD+ 3.0
• Very significant changes in comparison of JD+ 2.x• Still many challenges• Importance of the JD+ community
• SACE• Github• …