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Seasonal Adjustment Process with Demetra+

Seasonal Adjustment Process with Demetra+. Anu Peltola Economic Statistics Section, UNECE. Overview. Seasonal adjustment process: Prepare and check Define and adjust Analyse and refine Document and publish. Prepare and check. Check the original series. Prepare a source file.

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Seasonal Adjustment Process with Demetra+

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  1. Seasonal Adjustment Process with Demetra+ Anu Peltola Economic Statistics Section, UNECE

  2. Overview Seasonal adjustment process: • Prepare and check • Define and adjust • Analyse and refine • Document and publish

  3. Prepare and check Check the original series Prepare a source file Open Demetra+ Import data

  4. Open Demetra+ • The program can be downloaded at: http://circa.europa.eu/irc/dsis/eurosam/info/data/demetra.htm • Can be used free of charge

  5. Prepare a source file • Many types of files are suitable • Excel file either horizontal or vertical

  6. 1 2 Import data • You can copy and paste • But you will have to do this every time • Dynamic updates possible • Next time you do not have to import again

  7. Check the original series • The quality of seasonal adjustment depends on the quality of the raw data. • accuracy, • length of time series (36/16), • quality of production methods and • consistency of time series • Demetra+ provides many visual tools, i.e. to test the presence of seasonality

  8. Check the original series Is seasonality present in the original series?

  9. Define and adjust Seasonally adjust Prepare calendars Select an approach Select regressors

  10. Select an approach • Choose to process only one time series or multiple series • Select the approach (X12 or T/S) • Working instructions for beginning seasonal adjustment with Demetra+ written for TRAMO/SEATS • More instructions for the use of X-12-ARIMA in the Demetra+ Manuals

  11. Prepare calendars • Demetra+ includes some predefined holidays, but not national holiday calendars of all countries • Collect a time series of your national holidays • Prepare the calendar by • Selecting from the pre-specified holidays • Defining exact dates • Setting a validity period

  12. Mark your specification Select regressors = Define the specification • Start the analysis with the default specifications • choose first either four (RSA4) or five (RSA5)

  13. double click Seasonally adjust • To launch adjustment • double click on the series or • select from the main menu: Seasonal adjustment/ Single Analysis/ New Seasonal adjustment/ Multiprocessing/ New SAProcessing-xx/ Run • Save to the workspace

  14. Seasonally adjust • For second adjustment of the same data, decide your update strategy • Current adjustment = fixed forecasts • Concurrent adjustment = nothing fixed

  15. Analyse and refine Refine and adjust Models applied Visual check Quality Diagnostics

  16. Visual check Is the seasonal component lost in the irregular?

  17. Visual check Check the S-I ratio for moving seasonality

  18. Models applied • Information about pre-processing: • the estimation time span used, • corrections for trading days and Easter, • type of applied ARIMA model, • the dates and types of outliers as well as • the distribution of residuals • Information about decomposition: • the applied decomposition model, • statistical indicators to validate the model

  19. Quality Diagnostics • Demetra+ offers a wide range of quality measures • Verbal description also • Basic checks = annual totals • Residuals, i.e. the part of data not explained by modelling, should not include any information

  20. Quality Diagnostics Is there some residual seasonality after adjustment?

  21. Quality Diagnostics Are there large revisions – is the model stable?

  22. Quality Diagnostics Do the residuals follow the normal distribution? Are they random?

  23. Refine and adjust • Seasonal adjustment is an iterative process • After the first adjustment, you can try different specifications • For example, from RSA 5 to RSA 4 • In multiprocessing, you can edit a single series by double clicking its name in the results • You can maintain the previous adjustments for comparison

  24. Document and publish Support users Export data Document choices Prepare publication

  25. Document choices • Document the first page of Main results, Pre-processing, Decomposition and Diagnostics • Archive the resulting time series for later revision analysis • Prepare metadata to be published to the users of statistics • ESS metadata template • OECD Data and Metadata Reporting and Presentation Handbook

  26. Export data • You can export to several kinds of outputs • Main menu: SAProcessing-xx/Generate output • Copy: TramoSeatsDoc-x/Copy/Results

  27. Prepare publication • Redesign the content of data releases when you start with seasonally adjusted data • Consider how to explain revisions, and plan in advance how to revise these data • The press releases should be simple • Offer some more details on the web site, e.g. regional or industry level data

  28. Support users • Seasonal adjustment aims at better service for the users of statistics • Define a clear framework / policy • choice of method and software • timing of reanalysis of parameters and models • treatment of outliers • practices with revision and dissemination

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