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

1. Choose the right toolTask Tools Comments

Interactive analysis (experts)

Demetra+ Single documents

Black-box SA Excel add-ins For unskilled people. Not suited for repeating work

ProductionSmall sets (< 100)

Demetra+Excel add-in

Excel add-in = light Demetra+ plugged in Excel

ProductionLarge sets

Demetra+ (<1000)WSACruncher

Demetra+ for interactive improvements,WSACruncher for bulk processing

Production. Advanced (specific handling)

Programming tools See special topic

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

• 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).

• 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

• 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)

• 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...)

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+)

Domain specification

Estimation specification

Point (or result) specification

Refresh (partial)

Refresh (concurrent)

Process (I)

Refresh (current)

Process(II)

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"

Refreshing Relaxed constraints (cumulative)

Current adjustment None(estimation spec = point spec)

Current adjustment (partial) Coefficients of the regression variables

Partial concurrent / Parameters Parameters of the Arima model

Partial concurrent / Last outliers Last outliers re-evaluated (1 year)

Partial concurrent / Outliers All outliers re-evaluated

Partial concurrent / Outliers + Arima Arima model (orders)

Concurrent adjustment All (estimation spec = domain spec)

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:

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

Files of a workspace

Contents of the

workspacedescriptor

Multi-processing file(in SAProcessing folder)

• Domain specification(s)• Items– Attributes• reference to domain specification[,estimation policy,

quality]

– Identification– [Data]– [Point specification]– [Estimation specification]

• 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

5. WSACruncher• WSACruncher is a console application for

batch processing

Read the workspace

Refresh the processing

Generate the output

Save the results

Demetra files(workspace)

wsacruncher.params

csv files...

• 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

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

Advanced?

Xml files, WSACruncher

.NET Applications (C#)

VBA: Excel add-ins... Advanced users

WSACruncher (params) Demetra+

Visual Studio (express edition)

MS-Office

Others (SAS...), through files

NO

YES

IT-Team? YES

Light dev.?

YES

NO

NO

Automation: comparisonSolution Advantages Drawbacks

WSACruncher •Simple •Efficient

Limited possibilities

.NET •Powerful solution•Complete access to internal routines

•For "professionals" only•Uncertain future (JDemetra ?)

VBA •Light, accessible for non experts.•Efficient

•MS solution ( JDemetra ?)•No full access to routines of Demetra+

Xml files •Independent solution•Integration in legacy environments

•Complex•(Rather) inefficient•Limited access to routines of Demetra+