Issues on Seasonal Adjustment in the EECCA countries UNECE Workshop on Short-Term Statistics (STS) and Seasonal Adjustment 14 – 17 March 2011, Astana, Kazakhstan Issues on Seasonal Adjustment in the EECCA countries Based on a UNECE Seasonal Adjustment Survey Carsten Boldsen Hansen Economic Statistics Section, UNECE

Agenda Objective & Scope of the Survey of 2008 Survey Findings Current State of Seasonal Adjustment Dissemination Policies Applied Seasonal Adjustment Approach Pre-Treatment of Time Series Validation of Seasonal Adjustment Plans for Future Development Recommended Future Measures March 2011

Objective & Scope of the Survey UNECE survey to National Statistical Offices (NSOs) and Central Banks (CBs) Conducted in October 2008 Targeted to 17 CIS and Western Balkans countries 11 answers were received from 10 different countries To obtain information on the current state in order to offer support Main factors identified: Non-comparability due to lack of seasonal adjustment Many have started seasonally adjusting Interest is raising in order to: Detect turning points earlier Enable comparison of sectors of the economy and countries March 2011

Current State of SA Practices 11/17 countries publish some SA data Most common statistics seasonally adjusted are: GDP (6), Industrial production (3), Exports and imports (4) NSOs adjust about 30 monthly and 30 quarterly time series 9 NSOs reported limited capacity in terms of SA Unified SA procedure in 5/9 offices All NSOs that perform SA have some methodological descriptions about SA Length of SA time series vary between 48 – 216 months, and quarterly between 16 – 72 quarters March 2011

Dissemination of SA Data Most publish raw data, SA and trend series SA series are usually published in regular publications and/or on the Internet None of the countries published working day adjusted series Most NSOs publish metadata on the methods of seasonal adjustment All eight countries that produce SA series disseminate the data also in paper publications March 2011

Seasonal Adjustment Approach The most commonly used SA approach is X-12-ARIMA <> TRAMO/SEATS in EU Some tendency to shift towards using TRAMO/SEATS and “X-13 ARIMA/SEATS” “X-13-ARIMA/SEATS” was expected to be the future tool for seasonal adjustment > Demetra+ software 4/9 NSOs currently performing SA have chosen their approaches via international orgs March 2011

Seasonal Adjustment Approach Number of countries March 2011

Pre-Treatment of Time Series = graphical analysis, calendar adjustment, model selection, filters, outliers and parameters Frequency of updating parameters varies Some do not regularly update the parameters Some update them, when new data appends One country updates also in case of atypical weather conditions The choice of regressor differs The most commonly used regressor in seasonal adjustment is either working days or working days and specific holidays Outliers are detected in most cases by tests Outliers are validated by experts in Armenia, Bosnia and Herzegovina and Kazakhstan It is recommended to document events causing outliers! March 2011

Validation of Seasonal Adjustment Mostly by using graphical inspection, autocorrelation function and measures of stability over time Graphical inspection: Deviation between the raw and SA series Standard deviation relative to trend Intuitive assessment Two countries mentioned analysing significant peaks of the autocorrelogram of the raw series One uses the Box-Pierce statistics and three use F-tests Use of validation measures depends on the SA software used March 2011

Validation of Seasonal Adjustment Residuals and fit statistics were less used Four countries mentioned using M-Statistics as a quality measure of the results A set of common quality measures are being constructed US Census Bureau, Eurostat and the Bank of Spain For all seasonally adjusted series to be assessed by the same criteria > Demetra+ includes some quality measures both from X-12-ARIMA and TRAMO/SEATS March 2011

Validation of Seasonal Adjustment Number of countries March 2011

Plans for Future Development All countries indicated some need for assistance, because of the lack of resources and knowledge Five countries reported receiving assistance from international organizations Regional training or workshops proposed by most of the respondents Exchange of methodological information and experiences were suggested Type of Assistance Needed Training 10 Technical assistance 9 Methodological material in Russian 7 Methodological material 4 Funding 3 March 2011

Future Measures All reported some need for assistance UNECE will organize training workshops in 2010 – 2012 Methodological material and practical guidelines will be produced and published also in Russian What are your plans now? Will be discussed next March 2011