Using Demetra+ at NSO of FI, - first results of testing Faiz Alsuhail, faiz.alsuhail@stat.fi, +358 9 1734 2921

Introduction Statistics Finland currently uses Tramo/Seats and Demetra (v. 2.2) to run seasonal adjustment. This test is about using Tramo/Seats in J-Demetra+ (v. 1.2.0) . The question is whether the results (seasonally adjusted time series, trend, trading day corrected series) are the same in both software programs. Identical model settings are used. Faiz Alsuhail/ Statistics Finland

Time series studied We study five time series: Gross national product (GNP) Volume index for industrial output (VIIO), total industries Labor cost index (LCI) for all industries in private sector Unemployment rate for 15-74 year old Retail trade These time series are important, draw considerable attention from the users. They are seasonally adjusted in different ways. Faiz Alsuhail/ Statistics Finland

Time series studied Series Freq. Series span n° of obs. n° of TD regr. n° of outliers Transf. ARIMA-model GNP Quarterly 1990Q1 - 2012Q4 92 1 2 Log (0 1 1) (0 1 1) VIIO Monthly 1995M1 -2013M1 217 7 3 LCI 2007Q1 - 24 6 None Unempl. 1988M1 -2013M2 302 5 (2 2 1) (0 1 1) Retail trade Faiz Alsuhail/ Statistics Finland

How the study was made? For the sake of comparability we use the same seasonal adjustment settings as in Demetra. This includes: Transformation: Logarithm/ none; ARIMA model and mean correction; Trading day correction, correction for national holidays, correction for Easter effect Outliers, including type and timing; We are interested in the quarter-to-quarter (month-to-month) growth rates of the SA series. For the unemployment rate we are interested in the levels. Faiz Alsuhail/ Statistics Finland

Are the quarter-to-quarter growth rates (SA) different? GNP. Faiz Alsuhail/ Statistics Finland

Are the quarter-to-quarter growth rates (SA) different? LCI. Faiz Alsuhail/ Statistics Finland

Are the month-to-month growth rates (SA) different Are the month-to-month growth rates (SA) different? Volume index for industrial output. Faiz Alsuhail/ Statistics Finland

Are the month-to-month growth rates (SA) different? Retail trade. Faiz Alsuhail/ Statistics Finland

Differences in growth rate Average of Differences in Growth Rates (SA), percentage points Median of Differences in Growth Rates (SA), percentage points GNP 0,19 0,11 LCI 0,34 0,30 VIIO 0,64 0,50 Retail Trade 0,82 0,65 Faiz Alsuhail/ Statistics Finland

Are the levels (T) different? Unemployment. Faiz Alsuhail/ Statistics Finland

Unemployment J-Demetra+ Demetra Outliers Yes, 5 outliers TC1993m2 value 1,2896  1.2893 TC1993m2 t-value 3,69 3.68 TC1995m1 value 0,9689  0.9679 TC1995m1 t-value 2,77 2.77 TC1995m7 value 1,4558  1.4550 TC1995m7 t-value 4,17 4.16 TC1996m3 value -1,6482 -1.6471 TC1996m3 t-value -4,72 -4.72 TC2000m2 value 1,4398  1.4397 TC2000m2 t-value 4,13 4.13 Faiz Alsuhail/ Statistics Finland

Conclusion This study suggests that if an NSI is using Tramo/Seats then: Switching from Demetra to J-Demetra+ will cause revisions in the published figures. The differences seem to larger for time series with many trading day regressors. It might be good to consider: The timing of the switch. To which extend is it worthwhile to keep the same model settings as in Demetra. Communicating the change to the users. Faiz Alsuhail/ Statistics Finland