[Gretl-devel] Re: seasonal adjustment: gretl + X13 compared with JDemetra(+)

Hi everybody, let me open a new thread with an informative title although in principle this could be seen as a continuation of the previous one named "basic questions/comments on X13". (But first of all let me repeat the question, is there a special reason why plugin/tramo_x12.h is written with an underscore but plugin/tramo-x12.c with a hyphen?)

OK, so now in gretl 2022a we can choose quite detailed options through the bundle argument of the deseas() function (X13 only so far, not Tramo). Time to go back to the original motivation and compare results with JDemetra again. (When I write JDemetra I basically mean JDemetra+, don't know what the plus there is supposed to mean.) The pre-defined options collections RSA0-RSA5c can be found for example in this document: https://cran.r-project.org/web/packages/RJDemetra/RJDemetra.pdf, p. 72. Here's my updated status quo of how to (try to) mimic those basic settings with gretl's deseas() function: <hansl> # The following options are still experimental, # i.e. whether they actually constitute what they should is # still not known 100%. # (outliers=7 in gretl 2022a means all, i.e. AO/LS/TC, see also the deseas function reference) bundle RSA0_opts  = _(logtrans=0, outliers=0, trading_days=0, airline=TRUE) bundle RSA1_opts  = _(logtrans=2, outliers=7, trading_days=0, airline=TRUE) bundle RSA2c_opts = _(logtrans=2, outliers=7, working_days=2, easter=TRUE, airline=TRUE) bundle RSA3_opts  = _(logtrans=2, outliers=7, trading_days=0) bundle RSA4c_opts = _(logtrans=2, outliers=7, working_days=2, easter=TRUE) bundle RSA5c_opts = _(logtrans=2, outliers=7, trading_days=2, easter=TRUE) </hansl> For comparison I'm using the results of the main example series that comes with the RJdemetra wrapper package for R. (A colleague was so kind to run those for me.) That monthly series spans the range 1990-2020, I believe it's industrial production growth in France or so. What I'm getting is: - RSA0: identical up to numerical noise (on the order of 1e-6 %) - RSA1: basically the same (max order 1.5e-4 %) - RSA2c: ditto - RSA3: Noticeable deviations with a visual seasonal pattern, only at /peaking around the financial crisis (2009), up to roughly 1.3% - RSA4c: basically identical (max order 5e-5 %) - RSA5c: Noticeable but noisy deviations throughout, again up to roughly 1.3% OK, so we're already good with four out of six, fine, including the outlier handling in cases RSA1, RSA2c, RSA4c. And also the new working_days option seems to be OK, see case RSA2c.

Right now it's not obvious to me why RSA3 and RSA5c deviate from the benchmark. But RSA5c is the only one where automatic trading_days are used, perhaps X13 and Jdemetra do something slightly different there.