pydemetra 0.1.1

Python bindings for JDemetra+ seasonal adjustment and time series analysis

pydemetra

Python front-end to JDemetra+, which is a Java package for seasonal adjustment.

⚠️ This repo is under development and not fully tested. Use with caution ⚠️

Want to just get going? Head to the Quick Start page.

This project has no affiliation the original JDemetra+, but we're grateful to its creators!

Functionality

pydemetra was inspired by the rjdverse R front-end to JDemetra+. Without that package, this one would not be possible. Not all of the functionality of either JDemetra+ or the R front-end is implemented in this package.

Implemented

• X-13ARIMA-SEATS seasonal adjustment (X-13, X-11, RegARIMA)
• TRAMO-SEATS seasonal adjustment (TRAMO, SEATS)
• Calendars and trading days — national calendars, fixed/Easter/weekday holidays, trading day regressors
• ARIMA modelling — SARIMA, UCARIMA, estimation, decomposition, simulation
• Regression variables — outliers (AO, LS, TC, SO), ramps, interventions, Easter/leap-year effects, periodic dummies, trigonometric variables
• Statistical tests — seasonality, normality, trading days, autocorrelation
• Time series utilities — aggregation, interpolation, differencing, length-of-period adjustment
• Distributions — t, chi-squared, gamma, inverse gamma, inverse Gaussian
• Splines — B-splines, natural/monotonic/periodic cubic splines
• Benchmarking specification

Not implemented

• STL decomposition
• State space models
• High-frequency seasonal adjustment
• Extended X-11
• Benchmarking and temporal disaggregation
• Revision analysis
• Trend-cycle filters

Prerequisites

• Python 3.11+
• Java 17+ (the JVM is started automatically on first use)

Most functions that interact with JDemetra+ Java classes require a running JVM. The JVM is started lazily on the first call — no manual setup needed as long as Java 17+ is on your PATH or JAVA_HOME is set.

Installing Java on MacOS

To install a recent version of Java, run

brew install openjdk
export PATH="/opt/homebrew/opt/openjdk/bin:$PATH"

and then restart your terminal.

Development

1. git clone repo
2. branch
3. install with development requirements using uv sync
4. do the work you need to
5. uv run nox for full test suite; everything should pass