[Gretl-devel] Re: seasonal adjustment: gretl + X13 compared with JDemetra(+)
Am 03.02.2022 um 23:26 schrieb Allin Cottrell:
On Thu, 3 Feb 2022, Sven Schreiber wrote:
> (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?)
No there isn't.
:-)
>
Interesting, thanks for investigating. A couple of comments. The "RSA"
naming comes from TRAMO-SEATS, maybe it's difficult to map exactly
from X13 options to TRAMO ones? Plus, it seems a bit strange that with
all those RSAs there isn't one that employs X13's default treatment of
outliers.
Well, there are three cases where the options seem to match pretty well.
(The fourth case RSA0 doesn't have much options, only the airline model.)
With the outliers there, it's all or nothing. (Remember, "all" means
check all, not necessarily include all.) Don't know where X13's default
comes from, maybe it's historical path dependence which Jdemetra had no
reason to follow.
> 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.
Maybe try with the seats option to deseas() activated?
Cannot hurt to try that,
yes.
Could you perhaps post the RJdemetra results somewhere so other could
examine the differences? Thanks.
It's not a big file, so I'm attaching the data in the hope that it goes
through.
thanks
sven
Attachments:
- deseas_comparison.gdt (application/x-gretldata — 66.4 KB)