Handbook on Seasonal Adjustment Update to SAEG Dan A. Rieser 15 March 2018

Agenda 1. Stock-taking 2. Final structure of the handbook 3. Timeline for completion 4. Input from SAEG

Stock-taking EUROSTAT initiative, dating back to (at least) 2013 Editors: Dominique Ladiray, Gian Luigi Mazzi Collection of input from experts finalised Review of existing chapters, including updating No new / additional input expected In total: 30 chapters, 10 parts, roughly 800 pages, plus ESS guidelines on seasonal adjustment

Final structure of the handbook Parts I General Aspects VI - Revision and Communication II - Pre-Treatment Methods VII - Seasonal Adjustment in Practice III - Seasonal Adjustment Methods VIII - Seasonal Adjustment and Business Cycle IV - Improving End-Point Estimates for Seasonal Adjustment IX - Seasonal Adjustment of High Frequency Data V - Seasonal Adjustment and Aggregation X - ESS Guidelines on Seasonal Adjustment

Timeline for completion SAEG consultation from 7 March to 6 April, cob Inclusion of any comments from SAEG Revision, proof-reading and checking, closely with editors, if needed Publication (online and print version) in Q1 2018

Input from SAEG EUROSTAT has circulated the final draft version of the handbook to members of the SAEG prior to this meeting Members of the SAEG group are invited to comment on the handbook in writing (annotated pdf, or by email or in writing/Word) Purpose: Final check prior to publication

Further information Dan A. Rieser ESTAT.C.1 National accounts methodology/Indicators dan.rieser@ec.europa.eu

ANNEX A

Structure of the handbook: Parts and chapters Introduction I General Aspects Seasonal Adjustment: Objectives, Definitions, Costs and Benefits Time Series Components A Brief History of Seasonal Adjustment Methods and Software Tools

Structure of the handbook: Parts and chapters II - Pre-Treatment Methods Calendar Effects Moving Trading-Day Effects with X-12-ARIMA and TRAMO-SEATS Series Outlier Detection and Correction Automatic Outlier Detection for the Basic Structural Time Series Model Transformations and Seasonal Adjustment of Economic Time

Structure of the handbook: Parts and chapters III - Seasonal Adjustment Methods Background for ARIMA Model-Based Seasonal Adjustment Seasonality and Unobserved Components Models: An Overview Moving Average Based Seasonal Adjustment Quality of Seasonal Adjustment in the Model-Based Approach of TRAMO-SEATS

Structure of the handbook: Parts and chapters IV - Improving End-Point Estimates for Seasonal Adjustment Trend-Cycle Estimation Asymmetric Moving Averages Minimizing Phase Shift Real Time Trend Extraction and Seasonal Adjustment

Structure of the handbook: Parts and chapters V - Seasonal Adjustment and Aggregation Benchmarking and Temporal Consistency Seasonal Adjustment of European Aggregates: Direct vs. Indirect Approach Multivariate Benchmarking: The Direct vs. Indirect Problem VI - Revision and Communication Revisions Data Presentation Issues

Structure of the handbook: Parts and chapters VII - Seasonal Adjustment in Practice Quality Measures and Reporting for Seasonal Adjustment Seasonal Adjustment of Short Time Series Chain-linking of Quarterly National Accounts and Implications for Seasonal Adjustment

Structure of the handbook: Parts and chapters VIII - Seasonal Adjustment and Business Cycle The Effect of Alternative Seasonal Adjustment Methods on Business Cycle Analysis The Effect of Seasonal Adjustment on Turning-Point Detection Seasonal Adjustment and Business Cycles The Impact of the Seasonal Adjustment Process of Business Tendency Surveys on Turning Points Dating

Structure of the handbook: Parts and chapters IX - Seasonal Adjustment of High Frequency Data Weekly Seasonal Adjustment: A Locally-weighted Regression Approach Seasonal Adjustment of Daily and Weekly Data X - ESS Guidelines on Seasonal Adjustment The ESS Guidelines on Seasonal Adjustment

ANNEX B

Editors and contributing institutions Editors: Dominique Ladiray, INSEE Gian Luigi Mazzi, Independent Expert Technical Editor: Dan A. Rieser, ESTAT, C1 Institutions: Australian Bureau of Statistics, Austrian Institute of Economic Research, Bank of Spain, Banque de France, Bundesbank, Bureau of Labor Statistics, ECB, Eurostat, Federal Reserve Board, GRETA, IMF, INSEE, National Bank of Belgium, ONS, Statistics Canada, U.S. Census Bureau Universities: Nantes, Panthéon Assas - Paris II, Rome Tor Vergata, Venice, Zürcher Hochschule für Angewandte Wissenschaften