EUROSTAT / Directorate General Statistics
MINUTES
Meeting of the Seasonal Adjustment Expert Group
Monday, 13March2017
Brussels
The co-chairpersonMartina Hahn (Eurostat)opened the Seasonal Adjustment ExpertGroup (SAEG) meeting and welcomed the participants. In addition to the usual attendants, IMF and OECD had been invited to the meeting as observers. The list of participants can be found in the end of this document.
- Approval of the agenda
Agenda was approved with no modifications.
2.JDEMETRA+: FURTHER DEVELOPMENT AND DOCUMENTATION
2.1Latest features by the National Bank of Belgium
Jean Palate, the head of the National Bank of Belgium (NBB) developers’ team of JDemetra+ (JD+), presented the progress made since the June-2016 meeting of the SAEG. The presentation focused on the new features that are available in the version 2.2 of JD+. The improvements resulted from the collaboration between the developers at the NBB and the group of testers, composed of members of the Seasonal Adjustment Centre of Excellence (SACE) and Seasonal Adjustment User Group (SAUG).
The new SA features mainly concern the Modelling (revision policy can now be fixed), Decomposition (use of backcasts in X11) and diagnostics (residual seasonality). Some codes were cleaned, bugs fixed and now JD+ 2.2 runs under Java 8. Many improvements were introduced in the graphical user interface in line with user requirements expressed at the hackathon that took place in December 2015 and those expressed by GitHub users. Version 2.2 also makes it possible to obtain the forecast from multi-processing. In terms of IT environment integration, an R package (called JD light) is available. The Web service will be released at the same time as JD+ 2.2 using the standard XML schema. Even if the API has not changed much, the existing plug-ins might need some light re-coding when migrated to JD+ 2.2.
The SAEG took note of the latest features developed by NBB Belgium comprising mainlyfurther options for output customisation and for revision policy, diagnostics onresidual seasonality, compatibility with Java 8, R package and web service in linewith users’ requirements. A pre-release is envisaged for the end of March 2017 on whichthe SACE/SAUG will be invited to comment.
2.2Latest features by the Deutsche Bundesbank
Andreas Lorenz,(BBk) reported on thelatest enhancements incorporated JD+ 2.2as well as further on-going improvements. Andreas(BBk) informed the group that the plug-ins for an aggregation of chain-linked series and fortranslating X-12 specifications to JD+ format and vice versa (“SpecParser”) have now been finalised. Preliminary versions are now available together with some documentation on the BBksection of GitHub. Prototypes of two other plugins: “TransReg” for transforming regression variables and “Customised output (controlled current adjustment report”are being finalised and are currently Bundesbank internal plugins.
While the main functionality of the "TransReg" plug-in is to center regressors around period specific or global means for user-defined time spans, further features include extrapolating seasonal means. One example for the application is to build regressors with extrapolated values, which can then be used in conjunction with the forecast spec. This is useful for calendar adjustment or, for example build regressors that can be used to calculate weather effects (which has been done for internal analyses). For the forecast of the regressors the seasonal mean is used. This work shall be completed by fall.
Andreas (BBk) also shared with the SAEG the BBk’sintention to increase the focus on JD+ in the training courses provided by the BBk. The BBkorganised a session on JD+ in the Conference on European Statistics Stakeholders held in Budapest in October 2016 and contributed the ESTP course for beginners held in February 2017 in Luxembourg. The BBkwill also contribute to the dedicated short training course that will take place as satellite event to ISI 2017 in July 2017. The next training for other National Central Banks will be called "Seasonal adjustment of Economic data"
The SAEG took note of the latest enhancements to JD+ 2.2 developed by the Bbk, as well as the details and status of the plug-ins, which are currently under development and which will be finalised by the end of 2017. It also noted the progress by the German statistical system with regard to the migration to JD+, including respective training activities. It was pointed out that once agreement on new features has been found, they should be included in the core engine.
2.3Implementation of JDemetra+ at the ECB
The SAEG was informed about the migration carried out by the ECB to implement JD+ in the daily seasonal adjustment processes. The main challenge here was related to the FAME/UNIX environment. A developer was recruited for this task which was successfully finalised. Very helpful support offered by the Bbk was much appreciated. The current workflow production system includes the use of the JWSACruncher as well as the JD+ desktop application. A devoted plug-in has been developed to automatize the full process. The ECB workflow also incorporates plug-ins for evaluation of the SA process on-screen and as a PDF report, both also developed by the ECB team. In the course of 2017 the new JD+ workflow will be applied to all datasets seasonally adjusted by the ECB’s Macroeconomic Statistics Division. Other ECB departments are also expected to migrate to JD+.
The SAEG encouraged the ECB to document its experience with migration to JD+ with a view of sharing with countries and of identifying needs for further improvements.The developers undertook to enrich the GitHUB documentation targeting developers.
3.OFFICIAL RELEASE OF JDEMETRA+ 2.2
3.1Official letter
The official letter for the release of the JD+ 2.2 shall be revised to take into account the features presented under item 2.1 and 2.2. The target date for the release shall be moved from May 2017 to June 2017.
It was agreed that Eurostat would announce in June 2017 the release of JD+ 2.2 withan updated version (reference to fixed regression, Java8) of the letter proposed, following a pre-releasein March 2017 by the SACE.
4.SACE reporting
4.1 First 6 months activity report and 4.2 SAUG mandate
Dominique Ladiray reported on the work done by the Centre of Excellence on Seasonal Adjustment that started again its activities in October 2016. The work focused also on the new plug-ins for Quality Reporting, Revision Analysis, link with Fame and high frequency data. The SACE will actively participate to international events. SACE is also reflecting about the opportunity to have a vision paper on JD+.
The SAEG noted the workplan of the SACE, incl. a vision paper for JD+ to bepresented to the next meeting of the SAEG, and the composition of the SAUG.The idea of creating a logo was welcomed. The logo will be finalised by the SACE in cooperation with NBB and Eurostat. The Vision paper will be included on the agenda of the next meeting. The mandate of the SAUG was approved.
5. REVISION PLUG-in
5.1 Testing of the revision prototype (by ONS)
The ONS presented the results of their testing on the Revision Plug-in against the ESS guidance on software evaluation and the ESS Guidelines on Revisions.
The group discussed the results of this initial evaluation and considered it a valuableextension of the core-engine. Based on further testing by the SACE and members of theEG, this plug-in could potentially be agreed and included in version 3.0 of JD+.Eurostat, in collaboration with the SACE, undertook to clarify ownership andmaintenance of this plug-in.
5.2 Demo of the interfaces Fame (MarketMap) for JDemetra+ version 2.1 (NCB of Spain)
The group noted the solution found by the NCB Spain within FAME
6. METHODOLOGICAL ISSUES (14:30 – 16:00)
6.1 Evolution of JDemetra+:JDemetra+ 3.0 (NCB of Belgium)
Jean Palate (NBB) presented planned improvements and modifications to be implemented in JD+ 3.0. In the area of statistical improvements the common RegARIMA model is being developed. The model will include fixed regression coefficients for pre-specified outliers, regressors for modelling change of regime, extended definition of moving holidays and flexible clustering of trading days variables. The model will be estimated with Kalman filers. A new optimization algorithm to overcome the problem of multiple local solutions will be implemented.
At the moment issues concerning the estimation procedure for the RegARIMA model are subject to extensive testing. For each block of theRegARIMA model (e.g. log/level test, calendar variables, outliers) a comparison between TramoSeats and X-12 is being made and the optimal solution chosen. The most problematic areaconcerns outlier detection. The comparison of the approximate approach (Tramo) an exact one (X-12) is ongoing. Testing of quality control and global evaluation has not been started yet.
JD+ 3.0 will be capable of dealing with high frequency data.
For clarity purposes the growing main JD+ library (TStoolkit) will be rearranged. JD+ 3.0 will run under Java 8 or 9.
The SAEG took note of the comprehensive refactoring of the libraries, introductionof Java 8/9, web-services, interface with R and command line tools, time seriesmethods and improved documentation addressing the various stakeholdersenvisaged in view of JD+ 3.0. Members were called upon to participate to the workthrough testing and documentation. To this end a wiki approach may be considered.Regarding the long-term maintenance, the group noted the risk of too few actors(mainly NCB BE) with a deep understanding of both the IT and methodologicalcomponents. The Bbk undertook to clarify how an intensified collaboration withNCB BE with a view to share the development work could be organised.
6.2 ESS Guidelines on Temporal Disaggregation (by ESTAT)
The Expert Group had a first exchange on the guidelines, encouraging Eurostat to invest further, incl. possibly through focus groups bringing together the experts on the various topics or a questionnaire to collect national approaches. This item will also be discussed at the WG Methodology taking place on the 5th of April 2017 in Luxembourg.
The SAEG is invited to send written commentsby 28 April 2017.
7 AOB
None
8NEXT STEPS
8.1Date of the next meeting
It was agreed to change the frequency of meetings of the SAEG to Annual. The next meeting of the SAEG will be held in Frankfurt, in March 2018.
List of participants
Participant's organisationName of participant
EurostatMsMartinaHahnCo-chairperson
European Central BankMrHenrikSchwartzlose Co-chairperson
EurostatMrDarioBuonoCo-secretary
European Central BankMrMichalDoliak Co-secretary
INSEEMr Trong-Hien Pham
IstatMrGiancarloBruno
Office for National StatisticsMrDuncanElliott
Statistics DenmarkMr Georg Paludan-Müller
StatistischesBundesamt MrStefanLinz
Banquenationale de BelgiqueMrJean Palate
Deutsche BundesbankMrAndreasLorenz
Banco de EspañaMrAntonioCasado Santiago
Banco de EspañaMrAlbertoCabrero Bravo
HrvatskaBankaMrAnteCobanov
Narodowy Bank PolskiMs Sylwia Grudkowska
SACEMrDominiqueLadiray
EurostatMsRosaRuggeri Cannata
EurostatMrDan A.Rieser
OECDMr Roberto Astolfi
OECDMr MrGyorgyGyomai
IMFMr Marco Marini
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