Refresh a specification with constraints

Function allowing to create a new specification by updating a specification used for a previous estimation. Some selected parameters will be kept fixed (previous estimation results) while others will be freed for re-estimation in a domain of constraints. See details and examples.

Usage

tramo_refresh(
  spec,
  refspec = NULL,
  policy = c("FreeParameters", "Complete", "Outliers_StochasticComponent", "Outliers",
    "FixedParameters", "FixedAutoRegressiveParameters", "Fixed", "Current"),
  period = 0,
  start = NULL,
  end = NULL
)

tramoseats_refresh(
  spec,
  refspec = NULL,
  policy = c("FreeParameters", "Complete", "Outliers_StochasticComponent", "Outliers",
    "FixedParameters", "FixedAutoRegressiveParameters", "Fixed", "Current"),
  period = 0,
  start = NULL,
  end = NULL
)

Arguments

spec

the current specification to be refreshed ("result_spec").

refspec

the reference specification used to define the domain considered for re-estimation ("domain_spec"). By default this is the "TRfull" or "RSAfull" specification.

policy

the refresh policy to apply (see details).

period, start, end

additional parameters used to specify the span on which additive outliers (AO) are introduced when policy = "Current" or to specify the span on which outliers will be re-detected when policy = "Outliers" or policy = "Outliers_StochasticComponent", is this case end is unused. If start is not specified, outliers will be re-identified on the whole series. Span definition: period: numeric, number of observations in a year (12, 4...). start and end: defined as arrays of two elements: year and first period (for example, period = 12 and c(1980, 1) stands for January 1980) The dates corresponding start and end are included in the span definition.

Value

a new specification, an object of class "JD3_TRAMOSEATS_SPEC" or "JD3_TRAMO_SPEC".

Details

The selection of constraints to be kept fixed or re-estimated is called a revision policy. User-defined parameters are always copied to the new refreshed specifications. This revision applies to the estimation done in Tramo (pre-adjustment phase), Seats will then run a new decomposition which might be in some (rare) cases based on a different model.

Available refresh policies are:

Current: applying the current pre-adjustment reg-arima model and handling the new raw data points, or any sub-span of the series as Additive Outliers (defined as new intervention variables)

Fixed: applying the current pre-adjustment reg-arima model and replacing forecasts by new raw data points.

FixedParameters: pre-adjustment reg-arima model is partially modified: regression coefficients will be re-estimated but regression variables, Arima orders and coefficients are unchanged.

FixedAutoRegressiveParameters: same as FixedParameters but Arima Moving Average coefficients (MA) are also re-estimated, Auto-regressive (AR) coefficients are kept fixed.

FreeParameters: all regression and Arima model coefficients are re-estimated, regression variables and Arima orders are kept fixed.

Outliers: regression variables and Arima orders are kept fixed, but outliers will be re-detected on the defined span, thus all regression and Arima model coefficients are re-estimated

Outliers_StochasticComponent: same as "Outliers" but Arima model orders (p,d,q)(P,D,Q) can also be re-identified.

References

More information on revision policies in JDemetra+ online documentation: https://jdemetra-new-documentation.netlify.app/t-rev-policies-production

Examples

y <- rjd3toolkit::ABS$X0.2.08.10.M
# raw series for first estimation
y_raw <- window(y, end = c(2016, 12))
# raw series for second (refreshed) estimation
y_new <- window(y, end = c(2017, 6))
# specification for first estimation
spec_tramoseats_1 <- tramoseats_spec("rsafull")
# first estimation
sa_tramoseats <- tramoseats(y_raw, spec_tramoseats_1)
# refreshing the specification
current_result_spec <- sa_tramoseats$result_spec
current_domain_spec <- sa_tramoseats$estimation_spec
# policy = "Fixed"
spec_tramoseats_ref <- tramoseats_refresh(current_result_spec, # point spec to be refreshed
    current_domain_spec, # domain spec (set of constraints)
    policy = "Fixed"
)
# 2nd estimation with refreshed specification
sa_tramoseats_ref <- tramoseats(y_new, spec_tramoseats_ref)
# policy = "Outliers"
spec_tramoseats_ref <- tramoseats_refresh(current_result_spec,
    current_domain_spec,
    policy = "Outliers",
    period = 12,
    start = c(2017, 1)
) # outliers will be re-detected from January 2017 included
# 2nd estimation with refreshed specification
sa_tramoseats_ref <- tramoseats(y_new, spec_tramoseats_ref)

# policy = "Current"
spec_tramoseats_ref <- tramoseats_refresh(current_result_spec,
    current_domain_spec,
    policy = "Current",
    period = 12,
    start = c(2017, 1),
    end = end(y_new)
)
# points from January 2017 (included) until the end of the series will be treated
# as Additive Outliers, the previous reg-Arima model being otherwise kept fixed
# 2nd estimation with refreshed specification
sa_tramoseats_ref <- tramoseats(y_new, spec_tramoseats_ref) #'