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R package implementing the X-12-ARIMA pickmdl procedure within rjd3
The package relies on rjd3toolkit and rjd3x13. It enables the x13 function in rjd3x13 to be run with the pickmdl model selection procedure. The pickmdl selection procedure differs from the default automodel procedure by restricting the choiche of seasonal RegARIMA model to an ordered set of five parsimonius models. If none of these five models proves adequate, the package provides the option to fall back on the default automodel procedure. The package further includes functionality for seasonal adjustment of multiple time series based on a data frame with model specifications.
📌 See the broader list of available functions.
See the package vignettes:
What is pickmdl?, Basic functionality, Alternatives when no model is acceptable, Partial concurrent adjustment, Multivariate time series.
Installation
Since pickmdl3 depends on rjd3toolkit and rjd3x13, refer to the installation instruction found on the rjdverse GitHub page. See also the chapter on R packages in the Jdemetra+ documentation.
Usual installation from GitHub:
# install.packages("devtools")
devtools::install_github("statisticsnorway/ssb-pickmdl3")If you know that the dependencies listed under Imports and Depends in the DESCRIPTION file are already installed, an alternative is:
devtools::install_github("statisticsnorway/pickmdl3", dependencies = FALSE)