Econometric software for seasonal adjustment and other time series methods (JDemetra+)
JDemetra+ is a new tool for seasonal adjustment (SA) developed by the National Bank of Belgium (NBB) in cooperation with the Deutsche Bundesbank and Eurostat in accordance with the Guidelines of the European Statistical System (ESS).
JDemetra+ implements the concepts and algorithms used in the two leading SA methods: TRAMO/SEATS+ and X-12ARIMA/X-13ARIMA-SEATS. Those methods have been re-engineered using an object-oriented approach that enables easier handling, extensions and modifications.
The program TRAMO-SEATS+ was developed by Gianluca Caporello and Agustin Maravall -with programming support from Domingo Perez and Roberto Lopez- at the Bank of Spain. It is based on the program TRAMO-SEATS, previously developed by Victor Gomez and Agustin Maravall. The program X-13ARIMA-SEATS is a produced, distributed, and maintained by the US-Census Bureau
Besides seasonal adjustment, JDemetra+ bundles other time series models that are useful in the production or analysis of economic statistics, including for instance outlier detection, nowcasting, temporal disaggregation or benchmarking.
From a technical point of view, JDemetra+ is a collection of reusable and extensible Java components, which can be easily accessed through a rich graphical interface. The software is a free and open-source software (FOSS) developed under the EUPL licence.
JDemetra+ has been officially recommended, since 2 February 2015, to the members of the ESS and the European System of Central Banks as software for seasonal and calendar adjustment of official statistics.
JDemetra+ runs on multiple platforms such as Windows, macOS and Linux (Java SE 8 or later version is required).
The SACE has elaborated an extensive documentation, available through the CROS - PORTAL:
- Quick start is an introduction to the JDemetra+ functions for seasonal adjustment, including details regarding installation.
- User guide includes step-by-step descriptions of how to perform a typical analysis of seasonal data and useful tips that facilitate replication of the results with the user’s own data and working instructions.
- Reference manual covers all available JDemetra+ functionalities, options and functions available through the interface.
The technical docs are available on the wiki.