Yankov V.M. Rosstat, Russian Federation Testing seasonal adjustment with Demetra + (for example, changes in inventories at current prices) Yankov V.M. Rosstat, Russian Federation

Rosstat currently (Q3. 2011) conducts seasonal adjustment of time series of key macroeconomic indicators using the software Demetra 2.2 In the process of data analysis it was found that updating of the seasonal model every time when new observations are added to the time series leads to significant changes in the values ​​of the seasonally adjusted series In this regard, a decision that seasonal adjustment is carried out using a fixed model, which will be updated once per year, was made. This eliminates the significant revisions in the seasonally adjusted series.

Change in inventories / quarterly data from Q1 2003 to Q3 2011

A graph of the changes in inventories The presence of seasonality is clearly visible as some instability of changes in inventories and the declining trend during the crisis period of 2009-2010

Check for a sliding seasonal factor

Main quality diagnostics

Check for residual seasonality after adjustment

Model stability

Residual analysis

Assessing the possibility of publishing the results The users of statistics may have trouble interpreting the results of seasonal adjustment due to changes in the results when adding new points of time series Changes in inventories is the most unreliable component and is subject to adjustment in compilation of GDP, calculated by different methods.