Seasonal Adjustment Methods and Country Practices

1. Seasonal Adjustment Methods and Country Practices Based on the: Hungarian Central Statistical Office: Seasonal Adjustment Methods and Practices; UNECE Survey on Seasonal Adjustment Methods, Practices and Future Intentions; and UN ESCAP Region-Wide Assessment of the Capacity of National Statistical Systems in Asia and the Pacific to Produce Basic Economic Statistics. Artur Andrysiak Statistics Development and Analysis Section ESCAP E-mail: andrysiak@un.org

2. Overview • Hungarian Central Statistical Office: Seasonal Adjustment Methods and Practices • UNECE Survey on Seasonal Adjustment Methods, Practices and Future Intentions • UN ESCAP Region-Wide Assessment of the Capacity of National Statistical Systems in Asia and the Pacific to Produce Basic Economic Statistics

3. Why study seasonal adjustment practices of other NSOs • Results provide good insight into which method and software countries prefer to use • Looking at countries which are in the process of implementing seasonal adjustment in their statistical systems (such as Poland) might provide with good suggestions as to what is a good way of starting up • Results provide valuable insights on country practices regarding issues such as reanalysis, concurrent vs forward, outliers, aggregation, etc.

4. Background • In 2006 the Hungarian CSO conducted a study of Seasonal Adjustment Practices in European NSOs • Hungarian CSO sent a Questionnaire to most of the European countries • The questionnaire was consistent with the questionnaire sent in 2002 by OECD • The results were summarized in the Hungarian CSO publication: Seasonal Adjustment Methods and Practices

5. Study of Seasonal Adjustment Methods used by NSO in Europe

6. Study of Seasonal Adjustment Methods used by NSO in Europe (used in 2006)

7. Study of Seasonal Adjustment Methods used by NSO in Europe (future use of SA methods – planned in 2006)

8. Software Used by NSOs in 2006

9. Aggregating methods Outliers handling

10. Application of SA Publication policy

11. Metadata

12. Validation of results • Graphic Inspection • Statistics on Residuals • Stability Over Time • Autocorrelation Function • Other Alternatives • spectral analysis of residuals, • variability of the SA series, • tests of parameters of the ARIMA-models, • consistent estimates of TD/WD effects, • graphical inspection of the residuals and the changes of the SA series and the estimated outliers • similarity of quarterly rates (with respect to the corresponding quarter to the previous year) of raw and SA series

13. UNECE Survey on Seasonal Adjustment Methods, Practices and Future Intentions • Excel based and on-line questionnaire • 3 Parts: general, for countries not producing SA statistics, for countries currently producing SA statistics • Sent to 17 Countries (CIS and South East European) • National Statistical Offices and Central Banks • 10 out of 17 NSO provided responses • Unfortunately only 1 out of 17 CBs responded

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23. UN ESCAP Region-Wide Assessment • Conducted during the period May to December 2009 • The main objective of the assessment was to provide some indication of the current capacity of national statistical systems to produce basic economic statistics • All 58 ESCAP Members and Associate Members in the Asia and Pacific region were analyzed • The Assessment was organized in five main sections and 24 subsections. • Legal/institutional infrastructure • National Accounts • Other Indicators • Seasonal Adjustment • Results of SIAP Training Needs Survey • Data was collected for all 58 countries • 25 countries sent back their validated assessments

24. UN ESCAP Assessment - Highlights

25. UN ESCAP Assessment - Highlights

26. UN ESCAP Assessment - Highlights

28. Suggestions for countries planning to begin producing and publishing seasonally adjusted statistics • Assess your needs and the needs of your users • Allocate sufficient resources • Provide staff with resources to learn and develop expertise in SA • Evaluate the possible options and choose the most suitable seasonal adjustment method and software (simple and reliable) • Allow plenty of time for experimenting and evaluation of results • Ensure good communication between the seasonal adjustment team and the subject-matter area • Do not publish any seasonally adjusted statistics until confident with the results

29. Suggestions for countries planning to begin producing and publishing seasonally adjusted statistics • Consult the main users and seek their comments • Ensure that you have a clear seasonal adjustment policy: covering such issues as method, software, reanalysis, aggregation, outliers, etc. • When publishing SA statistics ensure that users can easily access relevant metadata • Ensure that users can access (electronically) the complete timeseries: original, seasonally adjusted, (trend and working day adjusted) • If possible keep users inform about major events/factors affecting seasonally adjusted statistics • Ensure subject matter areas are involved in validation of SA statistics

30. Demo of Demetra • Demetra was developed first for Eurostat’s internal needs. However, it is freely available to other users in statistical organisations (latest version 2.2). • It eases access of non-specialists to TRAMO, SEATS and X-12-ARIMA and improves largely their user-friendliness. • Demetra is a tool for statistical production in a large-scale environment imposing a recognised seasonal adjustment policy. • It seasonally adjusts large-scale sets of time series, checks the quality of the results, improves the stability of the models, automatically improves rejected adjustments and assists the user in all the treatment. • Additionally, it allows detailed analysis on single time series. • The interface mainly uses the statistical algorithms included in the SA methods X-12-ARIMA and TRAMO/SEATS. • Demetra+ is expected to be released sometimes in July 2010

31. Useful links • Demetra 2.2 (free software) will be replaced by Demetra+ • http://circa.europa.eu/Public/irc/dsis/eurosam/library?l=/software/demetra_software&vm=detailed&sb=Title • X12-Arima (free software) • http://www.census.gov/srd/www/x12a/ • TRAMO-SEATS (free software) • http://www.bde.es/servicio/software/econome.htm

32. Useful reference material • Ess Guidelines on Seasonal Adjustment • http://epp.eurostat.ec.europa.eu/cache/ITY_OFFPUB/KS-RA-09-006/EN/KS-RA-09-006-EN.PDF • Hungarian Central Statistical Office: Seasonal Adjustment Methods and Practices • http://epp.eurostat.ec.europa.eu/portal/page/portal/ver-1/quality/documents/SEASONAL_ADJUSTMENT_METHODS_PRACTICES.pdf • Report on Seasonal Adjustment Survey to the EECCA and Western Balkan countries • http://www.unece.org/stats/publications/Report_seasonal_adjustment_survey.pdf • Availability and quality of short-term economic statistics in the Asian and the Pacific Region (full report still being prepared) • http://unstats.un.org/unsd/nationalaccount/workshops/2009/netherlands/AC202-S55.PDF

33. Questions? • THANK YOU