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JDemetra+ and R:Analysing and VisualisingTime Series

Atanaska Nikolova 14/09/2018

Outline

• What is JDemetra+

• RJDemetra package

• Seasonal adjustment

• Go interactive!

• Future developments

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What is JDemetra+?

• Java based software

• National Bank of Belgium

• Deutsche Bundesbank and Eurostat

• Recommended for seasonal adjustment forofficial statisticshttps://ec.europa.eu/eurostat/cros/

content/software-jdemetra_en

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What is JDemetra+?

• Open source:https://github.com/jdemetra

• Java libraries used to build astand-alone software and R functions

• Specialised R package RJDemetra

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JDemetra+ Software

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Use through R

• Requirements: rJava and Java SE 8+

• RJDemetra interface for JDemetra+

• jdemetra-R for more JD+ routines in R

• Available on Githubhttps://github.com/nbbrd/rjdemetra

https://github.com/nbbrd/jdemetra-R

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jdemetra-R

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jdemetra-R

• Functions need to be sourced as needed:

source("./R files/jd_init.R")

source("./R files/jd_ts.R")

source("./R files/jd_tempdisagg.R")

source("./R files/jd_cholette.R")

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RJDemetra

• Installation from Github:

install.packages("devtools")

library(devtools)

devtools::install_github("nbbrd/rjdemetra")

• Installation from zip file:

install("D:/R/Lib/rjdemetra-master")

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RJDemetra

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Creating specifications

• Two methods available:

• TRAMO/SEATStramoseats spec def()

• X-13x13 spec def()

• Pre-defined default specifications available

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Creating specifications

• Two methods available:

• TRAMO/SEATStramoseats spec def()

• X-13x13 spec def()

• Pre-defined default specifications available

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Pre-defined specifications

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Pre-defined specifications

• Editing default specifications

spec_user<-x13_spec_def(spec=("RSA5c"),

usrdef.outliersEnabled=TRUE,

usrdef.outliersType=c("LS","AO"),

usrdef.outliersDate=c("2009-01-01",

"2014-05-01"),

outlier.enabled=FALSE)

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Seasonal Adjustment

• Using the defined specs

SA_x13<-x13(MBS,spec_user)

• Plotting the result (overlay and components)

plot(SA_x13)

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Overlay graph only

plot(SA_x13, type_chart="sa-trend")

Sa, trend

Time

2008 2010 2012 2014 2016 2018

200

250

300

350

SeriesTrendSeasonally adjusted

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Components graph only

plot(SA_x13, type_chart="cal-seas-irr")

Cal., sea., irr.

Time

2008 2010 2012 2014 2016 2018

0.8

0.9

1.0

1.1

1.2

1.3

Calendar effectsSeas (component)Irregular

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Various Options

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Let it Shine

• Using output for Shiny application

• Useful for training purposes

• Interactive dashboards for client businessareas

• Facilitate understanding

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Let it Shine (credit to Jennie Davies)

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Let it Shine (credit to Jennie Davies)

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Benefits Over Other Packages• Speed (e.g. compared to seasonal)

system.time(tramoseats_def(MBS))

mean system mean elapsed

0.0017 0.2228

system.time(seas(MBS))

mean system mean elapsed

0.0410 0.6010

• Direct function call to Java library (no use ofintermediary files)

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Benefits Over Other Packages• Speed (e.g. compared to seasonal)

system.time(tramoseats_def(MBS))

mean system mean elapsed

0.0017 0.2228

system.time(seas(MBS))

mean system mean elapsed

0.0410 0.6010

• Direct function call to Java library (no use ofintermediary files)

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Benefits Over Other Packages

• Fitting ARIMA model benefits from automaticcheck procedures

• Deterministic effects

• Transformation

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Benefits Over Other Packages

• stats (2-year MAPE = 2.36):

arima(MBS,order=c(1,0,0),

seasonal=list(order=c(0,1,1),period=12))

• RJDemetra (2-year MAPE = 1.29)

regarima(MBS,regarima_spec_def_tramoseats(

arima.p=1,arima.d=0,

arima.q=0,arima.bp = 0,

arima.bd = 1,arima.bq = 1))

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Benefits Over Other Packages

• Speed

• Officially recommended by ECB

• Open source - ongoing developments

• Opportunity for development participationand feedback

• Good maintenance

• Support by ESS Seasonal AdjustmentHelpdesk

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Future Developments

• JDemetra+ 3.0https://github.com/nbbrd/jd3-rtests

• Available for testing

• High frequency data: daily and weekly

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Future Developments

• Example functions (jd3-rtests-master)

• jd3 fractionalairlinedecomposition

• jd3 x11

• jd3 stl

• More information:https://github.com/nbbrd/jd3-rtests/

wiki/High-frequency-series

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Future Developments

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Future Developments

• Package RJDemetra still under development

• Opportunities for contribution

• Continuously evolving and improving

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Special thanks to:

• Seasonal Adjustment Centre of Excellence(SACE)

• RJDemetra main developers:

Anna Michlek (ECB-NBB)Alain Quartier-la-Tente (INSEE)

Thank you!atanaska.nikolova@ons.gov.uk

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