Task Force on Seasonal Adjustment of Quarterly National Accounts Second meeting Item 7 Calendar adjustment: Issues note Martin Eiglsperger Frankfurt, 23-24 April 2007

2 Background Mandate: “Review and specify further the practices for working-day adjustment and the treatment of irregular factors …” Provision of only calendar adjusted series for GDP and Value Added Main topic of the next Task Force meeting

Calendar effects (1) Definition and role 3 Some calendar effects impact year by year in the same period to a similar extent → by definition: part of the seasonal component Non-seasonal calendar effects: typically due to the varying number of working or trading days, due to moving holidays (e.g. Easter) and due to leap years Many country-specific issues, e.g. calendar constellations in other countries might have an impact, e.g., on tourism or on retail trade

Calendar effects (2) Calendar adjustment 4 CMFB recommendation: Regression analysis Regressors: number of working or trading days, possibly distinguishing between certain days in the week dummies identifying periods affected by moving holiday, leap years etc. Modification of working-day regressors? → e.g. deviation of the no. of working days from their long-term average or no. of Mondays + Tuesdays + … + Fridays – 5/2 (no. of Saturdays + Sundays) …

Calendar effects (3) Calendar adjustment (continued) 5 Calculation of the no. of working or trading days requires detailed knowledge about country-specific public holidays and compensation practices, if public holidays fall on weekend days (relevant, e.g., in BE, IE, ES and the UK) Check reliability and meaningfulness of results: Significance and sign of the coefficient estimates? Seasonal pattern in calendar factors? Coefficient estimates: robust, time-depend?

6 Irregular effects One-off outliers, temporary effects and level shifts should remain visible in the seasonal adjusted series, since they are not part of the seasonal component However, there are effects which already have appeared in the past, e.g. due to cold winters or certain bridge day constellations Shall a series be adjusted for such effects? Can such effects be estimated reliably?

Outline of future work 7 Discuss and agree on definitions Stock-taking of calendar regressors used Monthly vs. quarterly regression analysis References for further elaboration of recommendations: existing recommendations and draft of Eurostat seasonal adjustment guidelines Practical advise on calendar adjustment with X-12, TRAMO/SEATS and DEMETRA Discuss implementation of the provision of purely calendar-adjusted QNA series

Proposed way forward Set up small expert / drafting group 8 Proposed way forward Set up small expert / drafting group Prepare review and proposals for July Task Force meeting