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Demetra+

Demetra+. jean.palate@nbb.be. Quick Tour. Versatile software. Choose the right tool Demetra+ main feature: multi-processing Demetra+ in production. Understanding the re-estimation procedure The file system of Demetra+. Batch processing by means of WSACruncher Automation .

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Demetra+

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  1. Demetra+ jean.palate@nbb.be

  2. Quick Tour • Versatile software. Choose the right tool • Demetra+ main feature: multi-processing • Demetra+ in production. Understanding the re-estimation procedure • The file system of Demetra+. • Batch processing by means of WSACruncher • Automation

  3. 1. Choose the right tool

  4. 2. Demetra+: using multi-processing • Choose a default specification • RSA4 or RSA5(c): automated procedure • Exception (pre-definition of the specification) • Specific calendar (National holidays...) • Specific needs (no outliers detection...) • Create a new multi-processing • Use the local menu in the Workspace Window (Multi-processing) • Rename the multi-processing, if need be

  5. Select the series • Use drag-drop • Consider the list container (Tools  Containers  List) to make easier selections • [Repeat the selection procedure] • Possibility to mix the specifications • Possibility to mix the sources • Run the processing • Inspect the results • The summary and the matrix view give useful general information (see especially the signs of trading days, leap year, Easter coefficients, the numbers of outliers).

  6. Sort the results following the quality • Quality indicator = just an indicator (to be improved)!! • Inspect bad series firstly, but don't forget the other series • Use the priority field to mark important series (sort by priority) • Inspect and modify bad series • Problems in diagnostics: • Spectral td peaks  calendar variables (remove pre-tests, modify options) • Residuals • Skewness: log/level • Kurtosis: (difficult) critical value for outliers detection

  7. Spectral seasonal peaks. Difficult • Seats:  Arima specification (use auto-modelling or Airline; try (2 1 0)(0 1 1)...). Box-Jenkins could be inappropriate. • X11:  filters • Residual seasonality  Series span (shorter) or • Seats: Arima specification • X11:  filters • Other important outputs (personal preferences) • Charts (main chart, SI-ratio) • Arima spectrum (→ simplify if possible) • Regression model (→ checks the significance / the signs of the coefficients, consider the number of outliers) • Last residuals • ... • Improve by trial and error (see above)

  8. Generating the output • Users should prefer csv files • More efficient, many outputs • csv format depends on international settings (Windows)! • Immediate (or easy) import in numerous software (or DB) • Usual options (default folders, presentation...) can be saved (see "Tools → Options → Outputs") • Feedback in the log window (location of the output...)

  9. 3. Understanding the re-estimation • Classification of the parameters of a SA processing • Reg-Arima modelling • Defining the "domain" of the model • Log/level • Type, time span of outliers • Regression variables (calendars...) • Arima model • Defining the "selection procedure" • Fct, VA, diffAIC... • Operational • TOL, maxiter • Decomposition • Diagnostics, output (not used in Demetra+)

  10. Domain specification Refresh (partial) Refresh (concurrent) Estimation specification Process (II) Process (I) Refresh (current) Point (or result) specification

  11. Refreshing and multi-processing • Step 1: Definition of the "domain specification" • limits of the considered models • Step 2: First estimation • Results define the "point specification" • Step 3: Refreshing: definition of an "estimation specification" • between the results and the domain (by relaxing some constraints) • Step 4: Next estimation • Results define a new "point specification"

  12. SA Processing and refreshing. Tips • Keep the domain specification as large as possible (for significant refreshing) • Limitations of Demetra+ • Overview of the different specifications (→next release) • Possible problem with pre-specified outliers (→ use intervention variables when needed) • True current adjustment unavailable (→ JDemetra) • Limited set of refreshing:

  13. 4. File system of Demetra+ • Storage of information in xml files • Separate file for each document • Contents of the workspace • TramoSeats / X12 specification • TramoSeats / X12 single processing • Multi-processing • Calendars • User's variables

  14. Files of a workspace

  15. Contents of the workspacedescriptor

  16. Multi-processing file(in SAProcessing folder) • Domain specification(s) • Items • Attributes • reference to domain specification[,estimation policy, quality] • Identification • [Data] • [Point specification] • [Estimation specification]

  17. Remarks: • No results (except the estimated model) • All information for re-estimating the processing • Identification • Data • All specifications • Future improvements of Demetra+ (refreshing): • Comparison of the raw series • Comparison of the models

  18. 5. WSACruncher • WSACruncher is a console applicationfor batch processing Read the workspace wsacruncher.params Demetra files (workspace) Refresh the processing Generate the output csv files... Save the results

  19. The xml parameters file defines the main steps: • refreshing policy • output (csv, diagnostics) • The workspace must contain all the files, using the same structure as Demetra+ • Syntax of the command: <path>\wsacruncher <workspace> -x <parameters> Example: "c:\program files...\wsacruncher"workspace.xml -x wsacruncher.params

  20. 6. Automation • Best solution for production chains • making your in-house software • Providing specific Demetra+/WSACruncher modules for • Accessing the data • Providing new diagnostics • Saving the results (Not discussed here) • Using building blocks of Demetra+ in a new application • interacting with WSACruncher through xml files

  21. Advanced? NO Demetra+ WSACruncher (params) YES IT-Team ? YES Visual Studio (express edition) .NET Applications (C#) NO Light dev. ? MS-Office VBA: Excel add-ins... Advanced users YES Others (SAS...), through files NO Xml files, WSACruncher

  22. Automation: comparison

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