R packages
In this chapter
Core JDemetra+ Java algorithms can be accessed in R. This chapter provides an overview of the suite of R packages related to JDemetra+: rjdverse.
Readme pages, GitHub pages and sometimes vignettes relative to each package provide a detailed description of all available functions: objectives, arguments, output and examples. They are reachable from the rjdverse main page.
The corresponding GitHub pages are directly linked to this documentation whenever their use in a selected algorithm is mentioned. More details on specific functions are available in the relevant chapters of the Algorithm part
Installing Packages
All R packages related to JDemetra+ (v3.x or v2.x) are available from the rjdverse Github page.
They can be installed from - GitHub - r-universe - CRAN (for some of them)
As explained in the corresponding Readme files on Github.
Configuration needed
To run packages based on version 3.x: Java 21 or higher: how to get a portable Java and link it with R on your computer is explained here
To run packages based on version 2.x: Java 8 or higher
Algorithms available in R
Seasonal adjustment
Using JDemetra+ version 3.x
| Algorithm | Package | Comments |
|---|---|---|
| X-13-ARIMA | rjd3x13 | Reg-ARIMA and X-11 decomposition available independently |
| Extended X-11 | rjd3x11plus | Extended for high-frequency (infra-monthly) data and Trend estimation with local polynomial filters |
| Tramo-Seats | rjd3tramoseats | Tramo available independently |
| Extended Tramo | rjd3highfreq | Extended for high-frequency data |
| Extended Seats | rjd3highfreq | Extended for high-frequency data |
| STL+ | rjd3stl | Airline based preadjustment and high-frequency data extension |
| Basic Structural Models | rjd3sts | State space framework |
Version 3.x includes Revision Policies in X-13 and Tramo-Seats.
More details on functions parameters and retrieving output in the chapter dedicated to Seasonal Adjustment
Using JDemetra+ version 2.x
| Algorithm | Package | Comments |
|---|---|---|
| X-13-ARIMA | RJDemetra | Reg-ARIMA and X-11 decomposition available independently |
| Tramo-Seats | RJDemetra | Tramo available independently |
Filtering and Trend estimation
| Algorithm | Package |
|---|---|
| Moving average functions | rjd3filters |
| Local Polynomial Trend Estimation | rjd3filters, rjd3x11plus |
Benchmarking
| Algorithm | Package |
|---|---|
| Denton | rjd3bench |
| Cholette | rjd3bench |
| Cubic splines | rjd3bench |
| GRP (Growth Rate Preservation) | rjd3bench |
Temporal Disaggregation:
| Algorithm | Package |
|---|---|
| Chow-Lin, Fernandez and Litterman | rjd3bench |
| Model-Based Denton | rjd3bench |
| Autoregressive Distributed Lag (ADL) models | rjd3bench |
| Reverse regression | rjd3bench |
| rjd3bench |
Reconciliation and multivariate temporal disaggregation
| Algorithm | Package |
|---|---|
| Multivariate Cholette | rjd3bench |
Calendarization
| Algorithm | Package |
|---|---|
| Calendarization | rjd3bench |
Nowcasting
Nowcasting with JDemetra+ is available via the rjd3nowcasting package
Documentation here
Revision analysis
Revision analysis on vintages can be performed with rjd3revision package.
Documentation here
Utility functions available in R
The packages listed below contain utility functions useful when running a seasonal adjustment production process.
Running the cruncher and generating a quality report
JDemetra+ cruncher is an executable module designed for mass production of seasonally adjusted series .
| Package | JD+ version | Comments |
|---|---|---|
| rjwsacruncher | 2.x and 3.x | estimation update and output |
| JDCruncheR | 2.x and 3.x | Quality Report |
Wrangling JD+ workspaces
A workspace is a specific JDemetra+ data format (.xml files) allowing to use the graphical user interface (GUI) and the cruncher.
| Package | JD+ version | Comments |
|---|---|---|
| rjd3providers | 3.x | manage input files, update metadata |
| rjd3workspace | 3.x | set specifications, open, create, save merge workspaces |
| rjdworkspace | 2.x | idem |
Building a production process of SA series
rjd3production package is a wrapper with functions encompassing a whole stage of a production process
Documentation here
More information on production processes can be found here
Generating enhanced output in SA estimation
This additional packages produce enhanced plots and diagnostic outputs.
| Package | JD+ version | Comments |
|---|---|---|
| rjdmarkdown | 2.x | enhanced print of diagnostics |
| ggdemetra | 2.x | plots based on ggplot2 |
| ggdemetra3 | 3.x | plots based on ggplot2 |
| rjdqa | 2.x | visual dashboard on one series |