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rjd3bench

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Temporal disaggregation and benchmarking with JDemetra+ v3.x algorithms.

Benchmarking:

  • Denton
  • Cholette (incl. multi-variate)
  • Cubic Splines
  • GRP (Growth Rate Preservation)
  • Calendarization

Temporal disaggregation

  • Chow-Lin
  • Fernandez
  • Litterman
  • Model Based Denton
  • ADL (Autoregressive Distributed Lag Models)

Installation

Running rjd3 packages requires Java 17 or higher. How to set up such a configuration in R is explained here

Latest release

To get the current stable version (from the latest release):

  • From GitHub:
# install.packages("remotes")
remotes::install_github("rjdverse/rjd3bench@*release")
install.packages("rjd3bench", repos = c("https://rjdverse.r-universe.dev", "https://cloud.r-project.org"))

Development version

To get the current development version from GitHub:

# install.packages("remotes")
remotes::install_github("rjdverse/rjd3bench")

Usage

First, you have to load the {rjd3bench} package:

Multivariate Cholette 

s1 <- ts(c(7, 7.2, 8.1, 7.5, 8.5, 7.8, 8.1, 8.4), frequency = 4, start = c(2010, 1))
s2 <- ts(c(18, 19.5, 19.0, 19.7, 18.5, 19.0, 20.3, 20.0), frequency = 4, start = c(2010, 1))
s3 <- ts(c(1.5, 1.8, 2, 2.5, 2.0, 1.5, 1.7, 2.0), frequency = 4, start = c(2010, 1))

a <- ts(c(27.1, 29.8, 29.9, 31.2, 29.3, 27.9, 30.9, 31.8), frequency = 4, start = c(2010, 1))

y1 <- ts(c(30.0, 30.6), frequency = 1, start = c(2010, 1))
y2 <- ts(c(80.0, 81.2), frequency = 1, start = c(2010, 1)) 
y3 <- ts(c(8.0, 8.1), frequency = 1, start = c(2010, 1))

data_list <- list(s1 = s1, s2 = s2, s3 = s3, a = a, y1 = y1, y2 = y2, y3 = y3)

cc <- c("a=s1+s2+s3") # contemporaneous constraints 
tc <- c("y1=sum(s1)", "y2=sum(s2)", "y3=sum(s3)") # temporal constraints

output1 <- multivariatecholette(xlist = data_list, tcvector = tc, ccvector = cc, rho = 1, lambda = .5) # = Denton
output2 <- multivariatecholette(xlist = data_list, tcvector = tc, ccvector = cc, rho = 0.729, lambda = .5) # = Cholette
output3 <- multivariatecholette(xlist = data_list, tcvector = NULL, ccvector = cc, rho = 1, lambda = .5)

Package Maintenance and contributing

Any contribution is welcome and should be done through pull requests and/or issues. pull requests should include updated tests and updated documentation. If functionality is changed, docstrings should be added or updated.

Licensing

The code of this project is licensed under the European Union Public Licence (EUPL).