Seasonal adjustment at statistics sweden
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Seasonal adjustment at Statistics Sweden. Strategies , current practices and major issues Suad Elezović , Ph.D Method Unit Process Department, Statistics Sweden. Major concerns. Harmonise and standardize seasonal adjustment procedures within SCB:

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Seasonal adjustment at statistics sweden

Seasonaladjustment at Statistics Sweden

Strategies, currentpractices and major issues

SuadElezović, Ph.D

MethodUnit

Process Department, Statistics Sweden

2012 Workshop on recent advances on Seasonal Adjustment


Major concerns

Major concerns

  • Harmonise and standardizeseasonaladjustmentprocedureswithin SCB:

    • Documents in progress: Praxis, Guide and Orientation.

    • Reliable software and stableIT-platform for production: move from Tramo-Seats to PROC X12 in SAS 9.2 or later.

    • Development projects:

      • Outliertreatment, consistencyissues, revision issues, measures of uncertainty, etc.

  • Implementation of the ESS Guidelines on SA.

2012 Workshop on recent advances on Seasonal Adjustment


Major concerns ctd

Major concernsctd

  • Improvequality:

    • Morefocus on analysis and interpretation.

  • Priority: Transparent communication with users-meetthe mainusers’ needs and requirements.

  • International perspective

    • Participation at workshops, conferences etc.

    • Follow the mainstream…

    • …but still try to develop new procedureswhenneccessary.

2012 Workshop on recent advances on Seasonal Adjustment


Methodologicial issues

Methodologicialissues

  • Aggregation consistency

    • Created a new ReconciliationProceduretailored to Systems of NA (implemented 2010):

      • Advantages: Top series unchanged, summation of lowerlevel series preserved, movementpreservation, analytical solution exists; fulfil the users’ requirements.

      • Disadvantages: not tailored to index series; additivityis not alwaysrecommended (chain-linked series not summablebefore SA butsummable after Reconciliation).

2012 Workshop on recent advances on Seasonal Adjustment


Methodological issues ctd consistency issues

Methodologicalissuesctd.-consistencyissues

  • Future plans:

    • To test and implement versions of the same procedure in different products.

    • To developprocedures for index-series and series withoutadditivityrestriction.

  • Another ReconciliationProceduredeveloped and implementedto fit Labour Market data.

2012 Workshop on recent advances on Seasonal Adjustment


Short about the reconc proc

Shortabout the Reconc. Proc.

  • Denton like procedure.

  • Minimization of an objectivefunction under additivityconstraint.

  • Balancingbetweenmovementand levelpreservation.

  • Ability to handleunusualseries (negative values, volatile series, etc.)

  • General modelincorporates different parametarization:

    • Proportional to the levels (squared)

    • Proportional to somemeasures of uncertainty

2012 Workshop on recent advances on Seasonal Adjustment


General model minimizing objective function under restriction

General model: Minimizingobjectivefunction under restriction

Seasonallyadjusted series i at time t

Reconciledseries

2012 Workshop on recent advances on Seasonal Adjustment


Chosen model

Chosen model

  • Focus on levels and volatility

2012 Workshop on recent advances on Seasonal Adjustment


Chosen version

Chosen version

PQ-alfa:

  • Weightingvolatility and the levelsproportionally

  • Exactanalytical solution exists!

    …and its interpretation is simple:

Direct GDP – Indirect GDP

2012 Workshop on recent advances on Seasonal Adjustment


Inconsistency in published imports

Inconsistency in published Imports

2012 Workshop on recent advances on Seasonal Adjustment


Consistency after pq alpha

Consistency after PQ-alpha

Total import -2.87%

Import of goods -3.47%

Import of services -1.36%

2012 Workshop on recent advances on Seasonal Adjustment


Chosen implementation in the systems of national accounts

Chosen implementation in the Systems of National Accounts

GDP

Housh.Cons

Gen. Gover.

Export

Import

Changes in Inventories

Gross Fixed Capital form.

Real Housh.Consumpt.

Housh. and NPISH

Centr. Government

LocalGovernment

Export

Goods

Imp

Goods

Import

Services

Export

Services

2012 Workshop on recent advances on Seasonal Adjustment


Outlier treatment

Outliertreatment

  • Mostproblematicissue!

    • Disruptingconsistency

    • Causesdifficulties in explaining revisions

    • End-point problems

  • Measuresimplemented in production:

    • Top-downprinciples in the systems of time series

    • Fixedhistoricaloutliers

2012 Workshop on recent advances on Seasonal Adjustment


Special issues

Special issues

Investigate problems with chain-linked series and aggregation consistency

  • Disrepancy (DIR-IND) after seasonaladjustment= Original difference (DIR-IND) + SA modellingeffects

    • Someevidence of seasonality and periodicbehaviour in discrepancybetweendirect and indirectaggregates!

    • Contribution to the total disrepancy from the effect of seasonaladjustmentgreaterthan the contribution from original discrepancy!

  • Testing:

    • Treat the discrepancybeforeseasonaladjustment of the chain-linked series as a separate series

    • Seasonallyadjustdisrepancy

2012 Workshop on recent advances on Seasonal Adjustment


Further issues

Furtherissues

Recent problems:

  • Seasonalpatternsmight be different after the crises in 2008-2009:

    • How to test this (with only 3 years data)?

    • How to treatmovingseasonality?

  • Arisingneeds for measures of uncertainty

2012 Workshop on recent advances on Seasonal Adjustment


Communication with users

Communication with users

  • Improvingcommunication:

    • Transparency via detailedexplanation of the procedures.

    • Efforts to meet the users’ requirementsdespiteconflictsbetween ”methodological” and ”economic” point of view.

    • ”Educate” the less informedusers.

    • Internaleducation (productionstatisticans and others)

2012 Workshop on recent advances on Seasonal Adjustment


Near future

Near future

  • Convert all existingproduction systems to PROC X12 in SAS 9.2 or later.

  • Developexcessivedocumentation.

  • Considering

    • Testing more flexible models (unobservedcomponents, statespaceetc).

    • Testing multivariateprocedures for seasonaladjustment.

    • Testing extreme value distributions w.r.t. outliertreatment.

2012 Workshop on recent advances on Seasonal Adjustment


Seasonal adjustment at statistics sweden

…and

Thank you for listening!

2012 Workshop on recent advances on Seasonal Adjustment


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