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Testing seasonal adjustment with Demetra+

STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN. Testing seasonal adjustment with Demetra+. Kosimov Kh. M. Dushanbe, Tajikistan - 2011. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN. Check the original time series.

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Testing seasonal adjustment with Demetra+

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  1. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Testing seasonal adjustment with Demetra+ Kosimov Kh. M. Dushanbe, Tajikistan - 2011

  2. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Check the original time series • Conclusions about the quality of source data • Quality adjustment for seasonal variation depends on the quality of data; • The input price index was used agricultural production; • Data analysis determined that there is seasonality and availability of seasonal interruptions; • duration of the time series consists of 4 years (48 cases).

  3. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Some graphs to show the presence of seasonality A seasonal factor was observed in the original series.

  4. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Selection of approach and regressors • The approach used was TRAMO / SEATS; • Selected certain holidays and national holidays; • Chosen specification (RSA4).

  5. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN The applied model • Working days correction was applied, holidays, the presence of seasonality and seasonal break were tested • Current adjustment means that the model, filters, outliers and calendar regression variables are re-identified and the respective parameters and factors re-estimated at review periods that have been set in advance.

  6. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Graphs of the results According to data given in the graph, the peak (highest value) of the irregular component observed in June, the lowest value in January.

  7. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN The index of agricultural production by month 2007 – 2010, seasonally adjusted

  8. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Checking for sliding seasonal factors The above analysis shows that the seasonal factor changes sharply in June due to increased agricultural production.

  9. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Main quality diagnostics The main results of the quality diagnostics Summary results: Good Basic checks:   definition, good (0.000)   Annual totals: Uncertain (0.021)Visual spectral analysis:   spectral peaks of the sea: Good   spectral peaks td: GoodRegarima residuals:   normal, good (0.136),Good independence (.137),Spectral peaks td Good (.284),    spectral Sea reaches a maximum   Doubtful (0.019)

  10. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Main quality diagnostics Residual seasonality: - sa: Good (1000) - sa (last 3 years): Good (.986) - irregular: Good (1000) Outliers: - number of outliers, good (0.000) Seats: - seas variance: Good (0.157)  - Irregular distinction, Good (0.240)  - Seasonal cross-correlation: Good (0.228)

  11. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Residual seasonality There is no residual seasonalityafter adjustment

  12. Questions about the program: STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN • Should we retain dependence between the values ​​at current prices, indices of price and volume, and how? • How to adjust the data prior to the adjustment for seasonal variations to account for the effects of irregular? • What policies should be followed in regard to the publication of seasonally adjusted data?

  13. Evaluate the ability to publish results STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN • Provide users with seasonally adjusted data or estimates of the trend-cyclical component is controversial. It is recommended to publish both measures, preferably in conjunction with the general diagram describing the dynamics of the two series over time. • Due to the fact that since January 2011, the Agency maintains statistical records on the basis of classifications of economic activities will need to recalculate time series, according to the ОКЭД classification, after the new time-series we will analyse the statistics with the seasonal adjustment program Demetra +, then we can consider publishing the data and placing it on the website.

  14. Questions STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN • Study the experience and obtain skills from other countries on the use of seasonal adjustment in the statistical analysis; • Need to do more practical work; • Need to introduce the knowledge and experience in the statistical system of Tajikistan.

  15. Questions to be addressed at the 2. seminar STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN • Should the final figures be calculated as the sum of the adjusted components, or they must be corrected immediately, even if the result may not correspond to the amount of adjusted components? • In other words, should the final figures be calculated by indirect or direct adjustment? • Can the program Demetra + adjust several types of production activity?

  16. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Plans for the future - Recalculation of time series based on the NACE classification, and the introduction of seasonal adjustments; - Training for central office and regional statistical offices; - To exchange experience with other CIS countries; - Improvement of the methodology by using the seasonal adjustment program Demetra +

  17. Address: Dushanbe, 734025, street Bokhtar 17 The Republic of Tajikistan Tel: (992 372) 27-81-14 Fax: (992 372) 21-43-75 E-mail: stat@tojikiston.com Internet:http://www.stat.tj STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN

  18. STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTAN Thank you for attention!

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