Suggestion: PICKMDL as ARIMA-model selection alternative

[olangsrud]

PICKMDL is an ARIMA-model selection alternative in X-12-ARIMA that, as far as I know, hasn’t been implemented in JDemetra+. PICKMDL means automatic selection among a set of user specified model candidates (there is a default list). I suggest PICKMDL be implemented in JDemetra+. Although PICKMDL may not be the best alternative, there are good reasons for including it. It will be easier to migrate seasonal adjustment systems from X-13 to JDemetra+. It will be possible to reproduce exactly the results obtained by X13 with PICKMDL. Changing the IT system and changing the seasonal adjustment methodology can then be handled as two separate problems. It will also, within JDemetra+, be possible to compare a PICKMDL alternative to other alternatives.