1 / 13

Using Demetra+ at NSO of FI, - first results of testing

Using Demetra+ at NSO of FI, - first results of testing. Faiz Alsuhail, faiz.alsuhail@stat.fi , +358 9 1734 2921. Introduction. Statistics Finland currently uses Tramo/Seats and Demetra (v. 2.2) to run seasonal adjustment. This test is about using Tramo/Seats in J-Demetra+ (v. 1.2.0) .

verne
Télécharger la présentation

Using Demetra+ at NSO of FI, - first results of testing

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Using Demetra+ at NSO of FI, - first results of testing Faiz Alsuhail, faiz.alsuhail@stat.fi, +358 9 1734 2921

  2. Introduction • Statistics Finland currently uses Tramo/Seats and Demetra (v. 2.2) to run seasonal adjustment. • This test is about using Tramo/Seats in J-Demetra+ (v. 1.2.0) . • The question is whether the results (seasonally adjusted time series, trend, trading day corrected series) are the same in both software programs. Identical model settings are used. Faiz Alsuhail/ Statistics Finland

  3. Time series studied • We study five time series: • Gross national product (GNP) • Volume index for industrial output (VIIO), total industries • Labor cost index (LCI)for all industries in private sector • Unemployment rate for 15-74 year old • Retail trade • These time series are important, draw considerable attention from the users. They are seasonally adjusted in different ways. Faiz Alsuhail/ Statistics Finland

  4. Time series studied Faiz Alsuhail/ Statistics Finland

  5. How the study was made? • For the sake of comparability we use the same seasonal adjustment settings as in Demetra. This includes: • Transformation: Logarithm/ none; • ARIMA model and mean correction; • Trading day correction, correction for national holidays, correction for Easter effect • Outliers, including type and timing; • We are interested in the quarter-to-quarter (month-to-month) growth rates of the SA series. • For the unemployment rate we are interested in the levels. Faiz Alsuhail/ Statistics Finland

  6. Are the quarter-to-quarter growth rates (SA) different? GNP. Faiz Alsuhail/ Statistics Finland

  7. Are the quarter-to-quarter growth rates (SA) different? LCI. Faiz Alsuhail/ Statistics Finland

  8. Are the month-to-month growth rates (SA) different? Volume index for industrial output. Faiz Alsuhail/ Statistics Finland

  9. Are the month-to-month growth rates (SA) different? Retail trade. Faiz Alsuhail/ Statistics Finland

  10. Differences in growth rate Faiz Alsuhail/ Statistics Finland

  11. Are the levels (T) different? Unemployment. Faiz Alsuhail/ Statistics Finland

  12. Faiz Alsuhail/ Statistics Finland

  13. Conclusion • This study suggests that if an NSI is using Tramo/Seats then: • Switching from Demetra to J-Demetra+ will cause revisions in the published figures. • The differences seem to larger for time series with many trading day regressors. • It might be good to consider: • The timing of the switch. • To which extend is it worthwhile to keep the same model settings as in Demetra. • Communicating the change to the users. Faiz Alsuhail/ Statistics Finland

More Related