United Nations Economic Commission for Europe Statistical Division Seasonal Adjustment Process with Demetra+ Anu Peltola Economic Statistics Section, UNECE

UNECE Statistical Division Slide 2March 2011 Overview Seasonal adjustment process:  Prepare and check  Define and adjust  Analyse and refine  Document and publish

UNECE Statistical Division Slide 3March 2011 Prepare and check Open Demetra+ Prepare a source file Import data Check the original series

UNECE Statistical Division Slide 4March 2011 Open Demetra+  The program can be downloaded at:  Can be used free of charge

UNECE Statistical Division Slide 5March 2011 Prepare a source file  Many types of files are suitable  Excel file either horizontal or vertical

UNECE Statistical Division Slide 6March 2011 Import data  You can copy and paste But you will have to do this every time  Dynamic updates possible Next time you do not have to import again 1 2

UNECE Statistical Division Slide 7March 2011 Check the original series  The quality of seasonal adjustment depends on the quality of the raw data. accuracy, length of time series (36/16), quality of production methods and consistency of time series  Demetra+ provides many visual tools, i.e. to test the presence of seasonality

UNECE Statistical Division Slide 8March 2011 Check the original series Is seasonality present in the original series?

UNECE Statistical Division Slide 9March 2011 Define and adjust Select an approach Prepare calendars Select regressors Seasonally adjust

UNECE Statistical Division Slide 10March 2011 Select an approach  Choose to process only one time series or multiple series  Select the approach (X12 or T/S) Working instructions for beginning seasonal adjustment with Demetra+ written for TRAMO/SEATS More instructions for the use of X-12- ARIMA in the Demetra+ Manuals

UNECE Statistical Division Slide 11March 2011 Prepare calendars  Demetra+ includes some predefined holidays, but not national holiday calendars of all countries Collect a time series of your national holidays  Prepare the calendar by Selecting from the pre-specified holidays Defining exact dates Setting a validity period

UNECE Statistical Division Slide 12March 2011 Select regressors = Define the specification  Start the analysis with the default specifications choose first either four (RSA4) or five (RSA5) Mark your specification RSA0level,airline model RSA1log/level,outliers detection, airline model RSA2log/level, working days, Easter, outlier detection, airline model RSA3log/level, outlier detection, automatic model identification RSA4 log/level, working days, Easter, outlier detection, automatic model identification RSA5log/level, trading days, Easter, outlier detection, automatic model identification

UNECE Statistical Division Slide 13March 2011 Seasonally adjust  To launch adjustment double click on the series or select from the main menu: Seasonal adjustment/ Single Analysis/ New Seasonal adjustment/ Multiprocessing/ New SAProcessing-xx/ Run  Save to the workspace double click

UNECE Statistical Division Slide 14March 2011 Seasonally adjust  For second adjustment of the same data, decide your update strategy  Current adjustment = fixed forecasts  Concurrent adjustment = nothing fixed

UNECE Statistical Division Slide 15March 2011 Analyse and refine Visual check Models applied Quality Diagnostics Refine and adjust

UNECE Statistical Division Slide 16March 2011 Visual check Is the seasonal component lost in the irregular?

UNECE Statistical Division Slide 17March 2011 Visual check Check the S-I ratio for moving seasonality

UNECE Statistical Division Slide 18March 2011 Models applied  Information about pre-processing: the estimation time span used, corrections for trading days and Easter, type of applied ARIMA model, the dates and types of outliers as well as the distribution of residuals  Information about decomposition: the applied decomposition model, statistical indicators to validate the model

UNECE Statistical Division Slide 19March 2011 Quality Diagnostics  Demetra+ offers a wide range of quality measures  Verbal description also  Basic checks = annual totals  Residuals, i.e. the part of data not explained by modelling, should not include any information

UNECE Statistical Division Slide 20March 2011 Quality Diagnostics Is there some residual seasonality after adjustment?

UNECE Statistical Division Slide 21March 2011 Quality Diagnostics Are there large revisions – is the model stable?

UNECE Statistical Division Slide 22March 2011 Quality Diagnostics Do the residuals follow the normal distribution? Are they random?

UNECE Statistical Division Slide 23March 2011 Refine and adjust  Seasonal adjustment is an iterative process  After the first adjustment, you can try different specifications For example, from RSA 5 to RSA 4  In multiprocessing, you can edit a single series by double clicking its name in the results  You can maintain the previous adjustments for comparison

UNECE Statistical Division Slide 24March 2011 Document and publish Document choices Export data Prepare publication Support users

UNECE Statistical Division Slide 25March 2011 Document choices  Document the first page of Main results, Pre- processing, Decomposition and Diagnostics  Archive the resulting time series for later revision analysis  Prepare metadata to be published to the users of statistics ESS metadata template OECD Data and Metadata Reporting and Presentation Handbook

UNECE Statistical Division Slide 26March 2011 Export data  You can export to several kinds of outputs Main menu: SAProcessing-xx/Generate output Copy: TramoSeatsDoc-x/Copy/Results

UNECE Statistical Division Slide 27March 2011 Prepare publication  Redesign the content of data releases when you start with seasonally adjusted data  Consider how to explain revisions, and plan in advance how to revise these data  The press releases should be simple Offer some more details on the web site, e.g. regional or industry level data

UNECE Statistical Division Slide 28March 2011 Support users  Seasonal adjustment aims at better service for the users of statistics  Define a clear framework / policy choice of method and software timing of reanalysis of parameters and models treatment of outliers practices with revision and dissemination