SA results obtained with Demetra2.2 and Demetra+ Faiz Alsuhail, SA Workshop, 6th March

Background The presentation is about the total (monthly) output of the economy. The comparison is between results by Demetra 2.2 Demetra+ (.NET-version). Tramo/Seats is used, model setting are the same in both Demetra 2.2 and Demetra+. 07/12/2018

Correction for Trading Day Effects 1 Regressor(s) (holiday-corr.) Information on Models Demetra 2.2 Demetra+ Series Span (n° of obs.) Jan1996 - Sept2011 (189) Jan1996 - Sept2011 Method Tramo/Seats Transformation Logarithm Mean Correction None Correction for Trading Day Effects 1 Regressor(s) (holiday-corr.) Trading day value 1 0,0031 0,0039 Trad1 t-value 10,97 19,087 Trading day value 2 -0,0078 -0,0097 Trad2 t-value -10,97 -19,087 Correction for Easter Effect Correction for Outliers 2 Outlier 2 Outliers LS Marr2008 t-value -3.89 -4,163 LS Tamm2009 t-value -3.73 -3,244 Specif. of the ARIMA model (0 1 1)(0 1 1) Non-seas. MA (lag 1) value -0.6501 -0,463 Non-seas. MA (lag 1) t-value -11.21 [-1.972, 1.972] 5% -6,973 Seasonal MA (lag 12) value -0.6507 -0,589 Seasonal MA (lag 12) t-value -9.99 [-1.972, 1.972] 5% -8,414 07/12/2018

Seasonally adjusted time series, Total output of the economy, 1/2005-7/2011 Faiz Alsuhail 07/12/2018

Differences in SA growth rates (%-points) 07/12/2018

Questions to be considered Should an NSI try to keep the old SA models when switching from Demetra 2.2 to Demetra+ ? Yes, to be consistent with the past. Partly (only for level shifts and trading day correction). No, the results will be revised anyway. How should the user be informed about the possible revisions? How to justify the revisions? Should NSI’s talk about change in software or method? 07/12/2018