Seasonal adjustment at Statistics Sweden

1. 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

2. 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

3. 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

4. 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

5. 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

6. 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

7. General model: Minimizingobjectivefunction under restriction Seasonallyadjusted series i at time t Reconciledseries 2012 Workshop on recent advances on Seasonal Adjustment

8. Chosen model • Focus on levels and volatility 2012 Workshop on recent advances on Seasonal Adjustment

9. 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

10. Inconsistency in published Imports 2012 Workshop on recent advances on Seasonal Adjustment

11. 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

12. 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

13. 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

14. 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

15. 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

16. 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

17. 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

18. …and Thank you for listening! 2012 Workshop on recent advances on Seasonal Adjustment