RJDemetra - Interface to 'JDemetra+' Seasonal Adjustment Software

Interface around 'JDemetra+' (<https://github.com/jdemetra/jdemetra-app>), the seasonal adjustment software officially recommended to the members of the European Statistical System (ESS) and the European System of Central Banks. It offers full access to all options and outputs of 'JDemetra+', including the two leading seasonal adjustment methods TRAMO/SEATS+ and X-12ARIMA/X-13ARIMA-SEATS.

Last updated 3 days ago

jdemetra

8.65 score 52 stars 5 packages 127 scripts 1.2k downloads

rjd3sts - State Space Framework and Structural Time Series with 'JDemetra+ 3.x'

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It offers access to several functions on state space models and structural time series.

Last updated 4 months ago

6.87 score 2 stars 4 packages 32 scripts

rjd3toolkit - Utility Functions around 'JDemetra+ 3.0'

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It provides functions allowing to model time series (create outlier regressors, user-defined calendar regressors, UCARIMA models...), to test the presence of trading days or seasonal effects and also to set specifications in pre-adjustment and benchmarking when using rjd3x13 or rjd3tramoseats.

Last updated 24 days ago

jdemetraseasonal-adjustmenttimeseries

6.12 score 5 stars 15 packages 59 scripts

rjd3filters - Trend-Cycle Extraction with Linear Filters based on JDemetra+ v3.x

This package provides functions to build and apply symmetric and asymmetric moving averages (= linear filters) for trend-cycle extraction. In particular, it implements several modern approaches for real-time estimates from the viewpoint of revisions and time delay in detecting turning points. It includes the local polynomial approach of Proietti and Luati (2008), the Reproducing Kernel Hilbert Space (RKHS) of Dagum and Bianconcini (2008) and the Fidelity-Smoothness-Timeliness approach of Grun-Rehomme, Guggemos, and Ladiray (2018). It is based on Java libraries developped in 'JDemetra+' (<https://github.com/jdemetra>), time series analysis software.

Last updated 4 months ago

5.76 score 3 stars 3 packages 77 scripts

rjd3highfreq - Seasonal Adjustment of High Frequency Data with 'JDemetra+ 3.x'

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It provides functions for seasonal adjustment of high-frequency data displaying multiple, non integer periodicities. Pre-adjustment with extended airline model and Arima Model Based decomposition.

Last updated 4 months ago

5.31 score 2 stars 3 packages 34 scripts

rjd3revisions - Revision analysis with 'JDemetra+ 3.x'

Revision analysis tool part of 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It performs a battery of tests on revisions and submit a report with the results. The various tests enable the users to detect potential bias and sources of inefficiency in preliminary estimates.

Last updated 3 months ago

4.92 score 3 stars 4 scripts

rjd3tramoseats - Seasonal Adjustment with TRAMO-SEATS in 'JDemetra+ 3.x'

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It offers full acces to options and outputs of TRAMO-SEATS (Time series Regression with ARIMA noise, Missing values and Outliers - Signal Extraction in ARIMA Time Series), including TRAMO modelling (automatic ARIMA model with outlier detection and trading days adjustment).

Last updated 24 days ago

4.77 score 5 stars 3 packages 13 scripts

rjd3x13 - Seasonal Adjustment with X-13 in 'JDemetra+ 3.x'

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It offers full acces to options and outputs of X-13, including RegARIMA modelling (automatic ARIMA model with outlier detection and trading days adjustment) and X-11 decomposition.

Last updated 24 days ago

4.65 score 4 stars 3 packages 9 scripts

rjd3x11plus - Interface to 'JDemetra+ 3.x' time series analysis software

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software.

Last updated 4 months ago

4.28 score 1 stars 2 packages 4 scripts

rjd3nowcasting - Nowcasting with 'JDemetra+ 3.0'

Interface around 'JDemetra+ 3.x' (<https://github.com/jdemetra/jdplus-nowcasting>), TSACE project. It defines and estimates Dynamic Factor Models with the purpose of Nowcasting. News analysis is included in this second version.

Last updated 4 months ago

4.26 score 3 stars 1 scripts

rjd3bench - Interface to 'JDemetra+ 3.x' time series analysis software

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software.

Last updated 4 months ago

4.12 score 2 stars 11 scripts

rjd3providers - Interface to 'JDemetra+ 3.x' time series analysis software.

Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It offers full acces to txt, csv, xml and spreadsheets files whicha are meant to be read by JDemetra+ Graphical User Interface.

Last updated 4 months ago

3.89 score 1 stars 1 packages 2 scripts

rjd3workspace - Interface to 'JDemetra+ 3.x' time series analysis software.

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>). It offers several functions to manipulate 'JDemetra+' workspaces, which can be read by the software and can store several seasonal adjusted series along with user-defined calendars or regression variables.

Last updated 4 months ago

3.86 score 3 stars

rjd3stl - R Interface to 'JDemetra+ 3.x' time series analysis software.

R Interface to 'JDemetra+ 3.x' (<https://github.com/jdemetra>) time series analysis software. It provides functions allowing to decompose a time series, including high-frequency data with multiple periodicities.

Last updated 4 months ago

3.52 score 1 stars 1 scripts