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Benchmarking for short-term economic statistics

Benchmarking for short-term economic statistics. Richard McKenzie & David Brackfield OECD. Definition.

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Benchmarking for short-term economic statistics

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  1. Benchmarking for short-term economic statistics Richard McKenzie & David Brackfield OECD

  2. Definition • Benchmarking is the process of aligning estimates of an economic variable at high frequency (e.g. monthly / quarterly) with independent estimates of the same economic variable produced at low frequency (e.g. annual) • Assumes the low frequency source is more accurate than the high frequency source

  3. Background • Presentation on methods at 2002 STESEG • Presentation on specific conditions for benchmarking STES at 2003 STESEG • OECD / Eurostat workshop on benchmarking in November 2003 • Collection of relevant technical documents brought together on OECD website – also part of the STES Timeliness Framework • Availability of the ECOTRIM software

  4. Use of benchmarking techniques • Common practice for quarterly and annual national accounts • Not common practice amongst NSOs for other short-term economic statistics • Advantages of using benchmarking techniques for STES emphasised in EU-US comparison study from 2001

  5. Advantages of using benchmarking techniques for short-term economic statistics • Consistency in high and low frequency data for the same economic variable • Procedure to review discrepancies in high and low frequency estimates improve estimation methods • Improved accuracy lower sample sizes, lower costs or opportunity to improve timeliness • Produces an accurate long time series of high frequency data important for empirical analysis

  6. Advantages of using benchmarking techniques for short-term economic statistics …. cont • Improved quality of input series to quarterly and annual national accounts helps minimise discrepancies for distinguishable components BEWARE • Need to ensure less frequent (e.g. annual) estimates are consistent between years to be suitable for benchmarking

  7. Is benchmarking for STES a priority? • Judging from countries comments on the benchmarking paper ……………..… • 40% high, 50% medium, 10% low • Some significant country comments: • Very important due to the push towards using more administrative data for STES • Needs to be considered in conjunction with the design of structural surveys … • More discussion needed on the series requiring benchmarking ……. (Recent Eurostat study) • Data confrontation at unit record level for annual and short-term surveys is more important …

  8. Achieving international comparabilityECOTRIM • Software package developed by Eurostat • Made freely available after the OECD / Eurostat workshop on benchmarking • 14 organisations have requested the software to use on a a variety of topics • Contains internationally recognised techniques and there are plans for further development • Country comments on the benchmarking paper: • 50% interested in trialling, 50% needed more information

  9. ECOTRIM Software • Software is freely available and can be installed onto the desktop • A User Manual that includes case studies and examples • Program is windows based and follows the normal “Windows” layout and feel

  10. Simple Example (Univariate) In this example a monthly OECD MEI Production Index (industry excluding construction) will be benchmarked against the equivalent annual Gross Domestic Product in industry index for the same country. The result is a benchmarked monthly IIP estimate. • First the aggregated series is loaded into ECOTRIM. • Next the related series is loaded into ECOTRIM.

  11. Univariate Methods The next step is to decide on a univariate method. All possible combinations can be tried (simultaneously if wanted). Possible methods are: AR (1) MIN SSR or AR (1) MAX LOG • Fernandez • Litterman MIN SSR or Litterman MAX LOG

  12. Results • The results can be displayed in the system graphically • The results can be exported into Excel with or without full information • Software can benchmark using multivariate methods with contemporaneous constraints and preliminary estimates. Software can also run in batch mode.

  13. Possible Future Work Issues for discussion: Possible area of future work if countries want to trial benchmarking and present results next year? OECD could coordinate this work and provide comparative analysis of lessons learnt. Further discussion?

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