Issues for discussion in the Workshop on Seasonal Adjustment Anu Peltola Economic Statistics Section, UNECE UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey

UNECE Statistical Division Slide 2 February 2012 Capacity Building on New Challenges in Economic Statistics  UNECE organizes with the financial support of the World Bank Workshop I – Short-Term Economic Statistics (STS) and Seasonal Adjustment, March 2011, Astana Workshop II – Challenges in Consumer Price Indices, October 2011, Istanbul Workshop III – Implementation of the 2008 System of National Accounts, 29 November - 2 December 2011, Kiev Workshop IV – Seasonal Adjustment, February 2012, Ankara

UNECE Statistical Division Slide 3 February 2012 Issues Rising from the Case Studies  Four main topics for this workshop: 1. Using calendars and regressors > accuracy 2. Refining seasonal adjustment > quality 3. Reading quality diagnostics > knowledge 4. Publishing seasonally adjusted data > readability

UNECE Statistical Division Slide 4 February 2012 Using Calendars and Regressors  What is the impact of calendar effects on measuring economic activity?  How to specify the national calendar step-by-step?  How to make sure that the calendar was correctly defined in Demetra+?  How to analyse the suitability of a calendar?  How to connect the national calendar to the built-in calendar variables?

UNECE Statistical Division Slide 5 February 2012 Refining Seasonal Adjustment  How to improve the quality of first seasonal adjustment? For example, if I get bad or severe results.  How to fix bad spectral seasonal peaks?  How to select between specifications (RSA0- RSA5)? Explain the options in detail.  How to create your own specification?  How to be sure that the results are correct and correctly interpreted? How to avoid mistakes?  Do we need to adjust for outliers or the irregular component before seasonal adjustment?

UNECE Statistical Division Slide 6 February 2012 Reading Quality Diagnostics  How to read and understand the results?  What do these concepts mean: irregular component, trend-cycle – ARIMA model?  More detailed information on analysing residuals  Do outliers influence the final results?  When are the results questionnable? When is volatility too high? When is seasonality significant? If there are small spectral peaks for residuals? If there is hypothetical autocorrelation in the seasonally adjusted series?

UNECE Statistical Division Slide 7 February 2012 Reading Quality Diagnostics – Specific Problems  Meaning of Friedman’s statistics?  Absence of autoregressive spectral graph for residuals  Innovation variance of the irregular component is lower than that of seasonal?  Spectral seasonal peaks are uncertain  Kurtosis and normality are highlighted in yellow? Asymmetry?  D+ did not perform an assessment of nonlinearity – why?  How to interpret the straight line on the S-I ratio?  How to explain the zero in the test for autocorrelation?  The curve of the seasonality graph is not clearly structured  There are no graphs for spectral analysis of the residuals – why?  Ljung-Box and Box-Pierce detect seasonality in residuals  Specificities of quarterly data

UNECE Statistical Division Slide 8 February 2012 Publishing seasonally adjusted data  Users do not understand the meaning of seasonal adjustment – may become confused  Metadata and explanations needed  How to document the seasonal adjustment?  How to publish the results?  How to explain revisions caused by the revised model? Revision policy needed  Should we retain consistency between price and volume indices? How about direct/indirect adjustment?  What policies should be followed in publishing data?

UNECE Statistical Division Slide 9 February 2012 Agenda Monday, 20 February 2012  Session 1 Conclusions of seasonal adjustment case studies Issues for discussion Summary conclusions of the case studies  First set of case studies Armenia, Azerbaijan, Mongolia and Ukraine  Session 2 Using calendars and regressors Impact of calendar effects Constructing calendars and using the calendar module  Exercises Constructing calendar regressors and refining regressors in Demetra+

UNECE Statistical Division Slide 10 February 2012 Agenda Tuesday, 21 February 2012  Session 3 Refining seasonal adjustment How to select the ideal set of regressors and specifications Examples of problematic time series  Second set of case studies Belarus x 2, Kazakhstan and Moldova  City Tour  Exercises: Real data examples and analysis of diagnostics

UNECE Statistical Division Slide 11 February 2012 Agenda Wednesday, 22 February 2012  Session 4 Reading quality diagnostics Overview of main quality diagnostics How to read diagnostics and how to improve results?  Third set of case studies Georgia, Kyrgyzstan, Russian Federation, Tajikistan  Session 5 Publishing seasonally adjusted data Internal documentation and user documentation Publishing seasonally adjusted data and examples  Group work Drafting a data release using seasonally adjusted data

UNECE Statistical Division Slide 12 February 2012 Agenda Thursday, 23 February 2012  Session 6 Seasonal adjustment and revision policies Results of the group work Towards a seasonal adjustment and revision policy  Session 7 Quality tips Questions and feedback from participants Tips – issues to consider for improvement of quality  Closing of the workshop