Harmonisation of Seasonal Adjustment Methods in EU and OECD Countries Ronny Nilsson Statistics Directorate

Contents Background Results of EU and OECD Surveys on SA - IT approach (EU survey) - Methodology (EU and OECD surveys) Future work

Background Monitor Euroland with early national data and facilitate comparison with other economies Software development for SA - DEMETRA Task Force, SA Co-ordination Group (CMFB) with a mandate - harmonisation of SA in EU: - integration of X-12 ARIMA and Tramo/Seats - use of DEMETRA by NSI and NCB

Results of EU Survey Main conclusions: X-12-ARIMA and Tramo/Seats only relevant methods Separation between research/production level Program version policy is urgent Integration of the two SA methods is important but not urgent DEMETRA can not fulfil the role of a standard

Priorities for harmonisation of SA procedures in EU countries Use of single SA software integrating both X-12 ARIMA and Tramo/Seats A single reference source code underlying the SA software (statistical and technological) Standardisation of the reporting of SA metadata, in particular quality aspects Definition of best SA practices via the European network of expertise

Results of EU- OECD surveys Survey characteristics EU countries + Norway Sample:16 NSIs inc. Eurostat,17 NCBs inc. ECB Response rate: 94% for NSIs, 76% for NCBs OECD non-EU countries (15 countries) Sample: 15 NSIs 15 NCBs and 5 other instit. Response rate: 93% for NSIs, 50% for NCBs and 80% for other institutions

SA Methods: To day (%) TS X-11 X-12 TS/X-12 Other EU Non-EU OECD OECD: X-11 dominates the market EU: TS in stand alone mode is widely used Non-EU: X-11 and X-12 used by some 80%

SA Methods: In the future (%) TS X-11 X-12 TS/X-12 Other EU Non-EU OECD OECD: X-12 and TS/X-12 in combination will be the two main methods EU: TS/X-12 in combination will dominate Non-EU: X-12 will be the main method

Methods: Selection Process Others: SEAABS, BV4, TESS, GLAS, STAMP Selection of one or several methods on: - internal decision based on testing and evaluation phase (58 %) - historical reasons or recommendations (60 %) Multiple methods are used because of: - possibility of cross checking results - specific features of each method

SA Diagnostics Satisfaction level EU countries: 88 %, Non-EU countries 95 % OECD countries: 90 % Main indicators/diagnostics used: Graphical Inspection (81 %) Result/Analytical Tables (79 %) Diagnostic test for ARIMA models (75 %)

Pre-adjustment features First priority: Outliers detection and T-day correction/flow vari. Second priority: Implementing national holidays missing obs. and forecast test for model type Third priority: Level shifts, additive outliers, seasonal breaks, Easter effect, user defined/dummy variables

Direct vs Indirect adjustment EU countries: Aggregation problem considered by 30 %, but no method is predominant Non-EU countries: Direct method is the most common method (58 %) Indirect method is only used in large scale in the United States and Korea

Proj. factors vs Concurrent adj. EU countries: 25 % of the institutions are considering the two methods, but no one is predominant Non-EU countries: Projected seasonal factors are used by 63 % of the institutions as the regular method Concurrent adjustment is used by 32 % on a regular basis

Update or Revision Policy Seasonal adjustment options: fixed periodicity (Yearly) EU 58 %, Non-EU 80 % after revisions in data EU 30 %, Non-EU 36 % Model parameters: fixed periodicity, EU no dominant pattern, but 60 % uses a yearly pattern in Non-EU for selection of fixed filters and ARIMA models a yearly periodicity is predominant

Metadata and Publication Policy Metadata on SA Method, SA Parameters and Working/trading day adjustment are stored by 85 %in the production database for internal usage Only metadata on SA Method and Working/trading day adjustment are stored by about 40 % in the dissemination database for external usage Info on outliers is stored by 40 % and other types of metadata by 20 % of the institutions

Future Work A merge of X-12 ARIMA and Tramo/Seats would be welcomed by most institutions using both methods, EU and OECD support this development Eurostat proposal for a Reorganisation of SA Activities in the European Statistical System (ESS) - Steering Group (financial/human input) - User Group (evaluation/proposals) - Scientific Group (research and assessment)

Future Work OECD Expert Group on “Short term Statistics” -Harmonisation of SA methods across OECD countries - link to EU Activities -Metadata and publication policy of SA for external users -Presentation of data; seasonally adjusted data vs trend-cycle (smoothed) data