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Harmonisation of Seasonal Adjustment Methods in EU and OECD Countries

Harmonisation of Seasonal Adjustment Methods in EU and OECD Countries. Ronny Nilsson Statistics Directorate. Contents. Background Results of EU and OECD Surveys on SA - IT approach (EU survey) - Methodology (EU and OECD surveys) Future work. Background.

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Harmonisation of Seasonal Adjustment Methods in EU and OECD Countries

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  1. Harmonisation of Seasonal Adjustment Methods in EU and OECD Countries RonnyNilsson Statistics Directorate

  2. Contents • Background • Results of EU and OECD Surveys on SA - IT approach (EU survey) - Methodology (EU and OECD surveys) • Future work

  3. Background • Monitor Euroland with early national data and facilitate comparison with other economies • Software development for SA - DEMETRA • Task Force, SA Co-ordination Group (CMFB) with a mandate - harmonisation of SA in EU: - integration of X-12 ARIMA and Tramo/Seats - use of DEMETRA by NSI and NCB

  4. Results of EU Survey Main conclusions: • X-12-ARIMA and Tramo/Seats only relevant methods • Separation between research/production level • Program version policy is urgent • Integration of the two SA methods is important but not urgent • DEMETRA can not fulfil the role of a standard

  5. Priorities for harmonisation of SA procedures in EU countries • Use of single SA software integrating both X-12 ARIMA and Tramo/Seats • A single reference source code underlying the SA software (statistical and technological) • Standardisation of the reporting of SA metadata, in particular quality aspects • Definition of best SA practices via the European network of expertise

  6. Results of EU- OECD surveys Survey characteristics EU countries + Norway • Sample:16 NSIs inc. Eurostat,17 NCBs inc. ECB • Response rate: 94% for NSIs, 76% for NCBs OECD non-EU countries (15 countries) • Sample: 15 NSIs 15 NCBs and 5 other instit. • Response rate: 93% for NSIs, 50% for NCBs and 80% for other institutions

  7. SA Methods: To day (%) TS X-11 X-12 TS/X-12 Other EU 19 50 0 23 8 Non-EU 0 43 35 13 9 OECD 10 47 16 19 8 • OECD: X-11 dominates the market • EU: TS in stand alone mode is widely used • Non-EU: X-11 and X-12 used by some 80%

  8. SA Methods: In the future (%) TS X-11 X-12 TS/X-12 Other EU 24 0 28 40 8 Non-EU 22 6 44 17 11 OECD 24 2 35 30 9 • OECD: X-12 and TS/X-12 in combination will be the two main methods • EU: TS/X-12 in combination will dominate • Non-EU: X-12 will be the main method

  9. Methods: Selection Process • Others: SEAABS, BV4, TESS, GLAS, STAMP • Selection of one or several methods on: - internal decision based on testing and evaluation phase (58 %) - historical reasons or recommendations (60 %) • Multiple methods are used because of: - possibility of cross checking results - specific features of each method

  10. SA Diagnostics Satisfaction level • EU countries: 88 %, Non-EU countries 95 % • OECD countries: 90 % Main indicators/diagnosticsused: • Graphical Inspection (81 %) • Result/Analytical Tables (79 %) • Diagnostic test for ARIMA models (75 %)

  11. Pre-adjustment features First priority: • Outliers detection and T-day correction/flow vari. Second priority: • Implementing national holidays • missing obs. and forecast test for model type Third priority: • Level shifts, additive outliers, seasonal breaks, Easter effect, user defined/dummy variables

  12. Direct vs Indirect adjustment EU countries: • Aggregation problem considered by 30 %, but no method is predominant Non-EU countries: • Direct method is the most common method (58 %) • Indirect method is only used in large scale in the United States and Korea

  13. Proj. factors vs Concurrent adj. EU countries: • 25 % of the institutions are considering the two methods, but no one is predominant Non-EU countries: • Projected seasonal factors are used by 63 % of the institutions as the regular method • Concurrent adjustment is used by 32 % on a regular basis

  14. Update or Revision Policy Seasonal adjustment options: • fixed periodicity (Yearly) EU 58 %, Non-EU 80 % • afterrevisions in dataEU 30 %, Non-EU 36 % Model parameters: • fixed periodicity, EU no dominant pattern, but 60 % uses a yearly pattern in Non-EU • for selection of fixed filters and ARIMA models a yearly periodicity is predominant

  15. Metadata and Publication Policy • Metadata on SA Method, SA Parameters and Working/trading day adjustment are stored by 85 % in the production database for internal usage • Only metadata on SA Method and Working/tradingday adjustment are stored by about 40 % in the dissemination database for external usage • Info on outliers is stored by 40 % and other types of metadata by 20 % of the institutions

  16. Future Work • A merge of X-12 ARIMA and Tramo/Seats would be welcomed by most institutions using both methods, EU and OECD support this development • Eurostat proposal for a Reorganisation of SA Activities in the European Statistical System (ESS) - Steering Group (financial/human input) - User Group (evaluation/proposals) - Scientific Group (research and assessment)

  17. Future Work • OECD Expert Group on “Short term Statistics” - Harmonisation of SA methods across OECD countries - link to EU Activities - Metadata and publication policy of SA for external users - Presentation of data; seasonally adjusted data vs trend-cycle (smoothed) data

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