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

On Fri, 4 Feb 2022, Sven Schreiber wrote: Thanks, I've now installed RJDemetra (RJD for short) and can confirm the results you posted. In the cases where there's noticeable disagreement (RSA3, RSA5c) the programs are either arriving at a different ARIMA specification, choosing different calendar effects, or finding different (but overlapping) outliers. Here's a summary, gleaned from the verbose printouts from RJD and X13A. RSA3 ---- RJD: arima (3 1 1)(0 1 1) in levels + 5 outliers (outliers: TC (4-2020), AO (3-2020), LS (11-2008), AO (5-2011), TC (2-2009) Log likelihood = -898.2, aicc = 1819 X13A, b58: arima (2 1 0)(0 1 1) in levels + 3 outliers (outliers: LS (11-2008), TC (3-2020), TC (4-2020) Log likelihood = -916.1, aicc = 1846.5 X13A, b39: arima (3 1 1)(0 1 1) in levels + 3 outliers Log likelihood = -914.5, aicc = 1847.5 So this is a case where the two X13A builds I've tried disagree. Build 58 struggles with RSA3 on these data -- takes over 20 times as long as any of the other specs -- while build 39 completes in reasonable time. If we believe RJD's loglikelihood and AICC, it's doing a little better. RSA5c ----- RJD: arima (2 1 1)(0 1 1) in levels + 4 outliers + 8 calendar effects (calendar: 6 daily coeffs plus Leap year + Easter[1]) Log likelihood = -799.1, aicc = 1634 X13A, b58 and b39 (identical): arima (2 1 1)(0 1 1) in levels + 5 outliers + 2 calendar effects (calendar: Weekday (1-coeff) and Easter[1]) Log likelihood = -795.1, aicc = 1617 In this case X13A does better wrt loglik and AICC. I'm not sure if the respective programs are starting with the same "test-down-from" spec for calendar effects; it doesn't look like it. Allin