Affiliation:
1. ISTAT, National Accounts Directorate, Methods Development for Quarterly Accounts, Roma, Italy
2. ISTAT, National Accounts Directorate, IT Support for General Government Sector, Roma, Italy
Abstract
Seasonal adjustment (SA) is a crucial factor in the process of producing official macroeconomic statistics. The most important SA methods, X-13Arima-Seats and Tramo-Seats, are currently included into JDemetra+, a universal open-source environment, which is available on several platforms and operating systems, as a result of adoption of Java programming language for source codes, and Xml metalanguage for the definition of input specifications. This paper focuses on the potentials of RJDemetra, the R library developed for JDemetra+ suite. Its structure and functionalities will be illustrated with several examples, reporting the associated R scripts. In addition, a new operational practices will be suggested, exposing an alternative procedure to enhance interactive time-series updating in SA revision policies step, and also to ensure consistency checking in input system, in order to improve and to speed up the SA estimation process, providing greater security and efficiency. Finally, the interaction between two very different environments such as SAS-IML, and R will be displayed through a new SAS-R procedure available for estimating Quarterly Accounts SA series.
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Management Information Systems
Reference9 articles.
1. Seasonal adjustment by signal extraction;Burman;Journal of the Royal Statistical Society,1980
2. Modelling, Forecasting and Seasonally Adjusting Economic Time Series with the X-11 ARIMA Method;Dagum;Journal of the Royal Statistical Society, Series D (The Statistician),1987
3. Harvey AC, Koopman SJ. Diagnostic Checking of Unobseved Components Time Series Model. Journal of Business & Economic Statistics, 1992.
4. Maravall A. Unobserved components in economic time series. In The Handbook of Applied Econometrics, 1995, Blackwell.
5. Caporello G, Maravall A. “Program TSW. Revised Reference Manual”, 2004; Banco de España.