GitHub - rjdverse/rjdemetra: R interface to JDemetra+ v 2.x (original) (raw)

RJDemetra

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RJDemetra is an R interface to JDemetra+, the seasonal adjustment software officially recommendedto the members of the European Statistical System (ESS) and the European System of Central Banks. JDemetra+ implements the two leading seasonal adjustment methodsTRAMO/SEATS+ andX-12ARIMA/X-13ARIMA-SEATS.

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.

For more details on the JDemetra+ software seehttps://github.com/jdemetra/jdemetra-app.

RJDemetra offers full access to all options and outputs of JDemetra+.

Installation

RJDemetra relies on therJava package and Java SE version 8 or higher is required.

Install release version from CRAN

install.packages("RJDemetra")

To install the developpment version:

install.packages("RJDemetra", repos = c("https://rjdverse.r-universe.dev", "https://cloud.r-project.org"))

install.packages("remotes")

remotes::install_github("rjdverse/rjdemetra")

If you have troubles with the installation, check the installation manual.

Basic example

To seasonally adjust a time series with a pre-defined specification you can either use the x13() function for the X-13ARIMA method or thetramoseats() function for the TRAMO-SEATS method.

library("RJDemetra")

myseries <- ipi_c_eu[, "FR"] x13_model <- x13(myseries) # X-13ARIMA method ts_model <- tramoseats(myseries) # TRAMO-SEATS method

Basic plot with the original series, the trend and the SA series

plot(x13_model, type_chart = "sa-trend")

S-I ratio

plot(x13_model$decomposition)