Overview
ggdemetra3 is an extension of ggplot2 to add seasonal adjustment statistics to your plots. The seasonal adjustment process is done with rjdemetra3 that is an R interface to JDemetra+, the seasonal adjustment software officially recommended to the members of the European Statistical System (ESS) and the European System of Central Banks. rjdemetra3 implements the two leading seasonal adjustment methods TRAMO/SEATS+ and X-12ARIMA/X-13ARIMA-SEATS.
There are 4 main functionnalities in ggdemetra3 depending of what you want to add in the graphic:
-
geom_sa(): to add a time series compute during the seasonal adjustment (the trend, the seasonal adjusted time series, etc.).
-
geom_outlier(): to add the outliers used in the pre-adjustment process of the seasonal adjustment. -
geom_arima(): to add the ARIMA model used in the pre-adjustment process of the seasonal adjustment. -
geom_diagnostics(): to add a table containing some diagnostics on the seasonal adjustment process.
Installation
Since rjdemetra3 requires Java SE 17 or later version, the same requirements are also needed for ggdemetra3.
# Install development version from GitHub
# install.packages("remotes")
remotes::install_github("AQLT/ggdemetra3")If you have troubles with the installation of ggdemetra3, check the installation manual.
Usage
By default, the seasonal adjustment is made with X-13-ARIMA with the pre-defined specification “RSA5c” (automatic log detection, automatic ARIMA and outliers detection and trading day and easter adjustment). If no new data or seasonal adjustment specification is specified (method or specification), these parameters is inherited from the previous defined: therefore you only need to specify the specification once. In the following examples, the seasonal adjustment will be perform with X-13-ARIMA with working day adjustment and no gradual easter effect adjustment (it is the specification that has the most economic sense for the industrial production index).
To add the seasonal adjusted series and the forecasts of the input data and of the seasonal adjusted series:
library(ggdemetra3)
spec <- rjd3x13::spec_x13("rsa3")
spec <- rjd3toolkit::set_tradingdays(spec, option = "WorkingDays")
p_ipi_fr <- ggplot(data = ipi_c_eu_df, mapping = aes(x = date, y = FR)) +
geom_line() +
labs(title = "Seasonal adjustment of the French industrial production index",
x = NULL, y = NULL)
p_sa <- p_ipi_fr +
geom_sa(component = "y_f(12)", linetype = 2,
spec = spec) +
geom_sa(component = "sa", color = "red") +
geom_sa(component = "sa_f", color = "red", linetype = 2)
p_sa
To add the outliers at the bottom of the plot with an arrow to the data point and the estimated coefficients:
p_sa +
geom_outlier(geom = "label_repel",
coefficients = TRUE,
ylim = c(NA, 65), force = 10,
arrow = arrow(length = unit(0.03, "npc"),
type = "closed", ends = "last"),
digits = 2)
To add the ARIMA model:
p_sa +
geom_arima(geom = "label",
x_arima = -Inf, y_arima = -Inf,
vjust = -1, hjust = -0.1)
To add a table of diagnostics below the plot:
diagnostics <- c(`Q-M2` = "m-statistics.q-m2",
`Residual qs-test (p-value)` = "diagnostics.seas-sa-qs",
`Residual f-test (p-value)` = "diagnostics.seas-sa-f")
p_diag <- ggplot(data = ipi_c_eu_df, mapping = aes(x = date, y = FR)) +
geom_diagnostics(diagnostics = diagnostics,
table_theme = gridExtra::ttheme_default(base_size = 8),
message = FALSE) +
theme_void()
gridExtra::grid.arrange(p_sa, p_diag,
nrow = 2, heights = c(4, 1.5))
See the vignette for more details.
Note that ts objects cannot be directly used in ggplot2. To convert ts or mts object to data.frame, you can use the ts2df() function.
ipi_c_eu_df <- ts2df(ipi_c_eu)High-frequency seasonal adjustment
The geom_sa() function is also compatible with some methods that can be used for high-frequency seasonal adjustment ("x11-extended", "fractionalairline", "multiairline" or "stl")
p_us_init_claims <- ggplot(data = usclaims[usclaims$date <= "2019-12-01",], mapping = aes(x = date, y = `Initial claims`)) +
geom_line() +
labs(title = "US initial claims",
x = NULL, y = NULL)
p_sa <- p_us_init_claims +
geom_sa(component = "sa", linetype = 2,frequency = 52,
method ="multiairline",
col = "red")
p_sa
autoplot()
The different components of seasonal adjustment models can also be extracted through calendar(), calendaradj(), irregular(), trendcycle(), seasonal(), seasonaladj(), trendcycle() and raw().
ggdemetra3 also provides autoplot() functions to plot seasonal adjustment models:
mod_hf <- rjd3highfreq::fractionalAirlineDecomposition(usclaims[usclaims$date <= "2019-12-01", "Initial claims"], period = 52)
autoplot(mod_hf, dates = usclaims$date[usclaims$date <= "2019-12-01"])
For X-13 and TRAMO-SEATS, the SI ratio can also be plotted with siratioplot() and ggsiratioplot() functions:
siratioplot(mod)