Summary of methods presented at the CMBF

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Chain-Linking,Benchmarking and Seasonal Adjustment at Statistics Sweden Summary of methods presented at the CMBF Task Force on Seasonal Adjustment of Quarterly National Accounts Eurostat 2007-02-15, Luxembourg. Sven Öhlén Statistics Sweden Macroeconomics and Price Department Statistical Methods sven.ohlen@scb.se

Project: Quarterly Pattern of Real QNA Goal: Elimination of the Residual (R=0) Present Methods of Real QNA (Survey): Sources,Calculations, Revisons, Quality, Benchmarking, Seasonal Adjustment Chain-Linking (CL) Benchmarking (BM) Seasonal Adjustment (SA) Better Tools (SAS) Documentation

Project: Quarterly Pattern of QNA Residual: Production vs Expenditure

Project: Quarterly Pattern of QNA Chain-Linking (Comparison perid) Over the Years (Present method):1999 This quarter with the same quarter last year Reference Year=2000 Base Year=2005 Annual Overlap? This quarter with mean of last year, Quarterly Overlap? This quarter with Q4 last year.

Project: Quarterly Pattern of Real QNA Chain-Linking Results in progress Quarterly Overlap Negative bias (2%)==>Benchmarking Over the Years User preference Small bias Annual overlap Unbiased

Benchmarking Statement of the Problem Quarterly data Revision period: 2 years Adjust a preliminary series: to a revised (benchmarked) series : such that that: (i) (ii) The benchmarked series preserve important properties of the preliminary series Y=Yearly Totals

Benchmarking Distance function D Adjust to Annual totals: Minimize: Subject to:

Benchmarking Principles MinQ: weighting factor MinD4: 2007

Benchmarking and Seasonal Adjustment - A Study of Swedish GDP - Paper presented at the Conference on Seasonality, Seasonal Adjustment and their Implications for short- term Analysis and Forecasting. Eurostat 2006-05-10, Luxembourg. Sven Öhlén Statistics Sweden Macroeconomics and Price Department Management sven.ohlen@scb.se

Benchmarking and Seasonal Adustment Empirical results: Increasing yearly BIAS MinD4 best method, Fig. 5.2.1. RMSE % for benchmarked series for GDP. Levels.

Seasonal adjustment at SCB History X-11-ARIMA 1999 TRAMO/SEATS? Research, SCB 1991-1998 Methods of SA Software, IT Öhlén: Reports at SCB sven.ohlen@scb.se http://www.scb.se/publkat/publikation.asp?plopnr=1448 Research, EU 1995-1998 (SAM-98)

Seasonal adjustment at SCB Software: Present situation X-11/12 (SAS) Short term industrial statistics (300) Labour force statistics (10) 1999 TRAMO/SEATS National Accounts (170) The Activity index Short term industrial statistics (100) Export/import of goods (40)

Seasonal Adjustment National Accounts TRAMO/SEATS Individually Model-Selection Working-Day Adjusted Easter, Trading Days Outlier detection SAS-interface

Project: Quarterly Pattern of Real QNA Seasonal Adjustment SAS-Interface Model-Selection issues (Superpop) New Series (QA in Current Prices) New Working-Day Adjustment Direct vs Indirect Adjustment Publication policy Revision Strategy

Chain-Linking Evaluation criteria Benchmarking Tools, Project: Quarterly Pattern of Real QNA Report: June 2007 Implementation: Nov 2007 Chain-Linking Evaluation criteria Benchmarking Tools, Seasonal Adjustment Users Goal: Elimination of the Residual (R=0) Efficient System for consolidation