Objective

The course is designed to enable participants to address advanced topics beyond the scope of the companion introductory course “Elementary seasonal adjustment of economic data with JDemetra+”. Working almost exclusively with the seasonal adjustment software package JDemetra+, the course is intended to encourage discussion and the exchange of experiences among participants.

Contents

• X-11 seasonal adjustment: recap of the companion introductory course
• Outliers: anomaly detection, seasonal breaks
• Calendar effects: creation and customisation of user-defined regression variables
• Composite time series: direct vs. indirect seasonal adjustment
• Revision policies: overview of strategies, controlled current adjustment
• ARIMA model-based seasonal adjustment: model decomposition, quality diagnostics
• JDemetra+: additional tools, access via R
• Daily data: potential issues, overview of seasonal adjustment approaches

Target group

The course is aimed at economists and statisticians from central banks who are interested in studying advanced topics in seasonal adjustment and in the efficient application of JDemetra+. Prior knowledge and/or experience of time series analysis in general and seasonal adjustment in particular are highly recommended.