Seasonal adjustment at Statistics Sweden Strategies, current practices and major issues Suad Elezović, Ph.D Method Unit Process Department, Statistics Sweden 2012 Workshop on recent advances on Seasonal Adjustment 1

Major concerns Harmonise and standardize seasonal adjustment procedures within SCB: Documents in progress: Praxis, Guide and Orientation. Reliable software and stable IT-platform for production: move from Tramo-Seats to PROC X12 in SAS 9.2 or later. Development projects: Outlier treatment, consistency issues, revision issues, measures of uncertainty, etc. Implementation of the ESS Guidelines on SA Workshop on recent advances on Seasonal Adjustment 2

Major concerns ctd Improve quality: More focus on analysis and interpretation. Priority: Transparent communication with users- meet the main users’ needs and requirements. International perspective Participation at workshops, conferences etc. Follow the main stream… …but still try to develop new procedures when neccessary Workshop on recent advances on Seasonal Adjustment 3

Methodologicial issues Aggregation consistency Created a new Reconciliation Procedure tailored to Systems of NA (implemented 2010): Advantages: Top series unchanged, summation of lower level series preserved, movement preservation, analytical solution exists; fulfil the users’ requirements. Disadvantages: not tailored to index series; additivity is not always recommended (chain-linked series not summable before SA but summable after Reconciliation) Workshop on recent advances on Seasonal Adjustment 4

Methodological issues ctd.- consistency issues Future plans: To test and implement versions of the same procedure in different products. To develop procedures for index-series and series without additivity restriction. Another Reconciliation Procedure developed and implemented to fit Labour Market data Workshop on recent advances on Seasonal Adjustment 5

Short about the Reconc. Proc. Denton like procedure. Minimization of an objective function under additivity constraint. Balancing between movement and level preservation. Ability to handle unusual series (negative values, volatile series, etc.) General model incorporates different parametarization: Proportional to the levels (squared) Proportional to some measures of uncertainty 2012 Workshop on recent advances on Seasonal Adjustment 6

General model : Minimizing objective function under restriction Seasonally adjusted series i at time t Reconciled series Workshop on recent advances on Seasonal Adjustment

Chosen model Focus on levels and volatility 2012 Workshop on recent advances on Seasonal Adjustment 8

Chosen version PQ-alfa : Weighting volatility and the levels proportionally Exact analytical solution exists! …and its interpretation is simple: 9 Direct GDP – Indirect GDP 2012 Workshop on recent advances on Seasonal Adjustment

Inconsistency in published Imports 2012 Workshop on recent advances on Seasonal Adjustment 10

Consistency after PQ-alpha 2012 Workshop on recent advances on Seasonal Adjustment 11 Total import -2.87% Import of goods -3.47% Import of services -1.36%

Chosen implementation in the Systems of National Accounts 12 GDP Housh. Con s Gen. Gover. Gross Fixed Capital form. Export Import Changes in Inventories Real Housh. Consu mpt. Housh. and NPISH Centr. Gover nment Local Governm ent Export Goods Export Services Imp Goods Import Services 2012 Workshop on recent advances on Seasonal Adjustment

Outlier treatment Most problematic issue ! Disrupting consistency Causes difficulties in explaining revisions End-point problems Measures implemented in production : Top-down principles in the systems of time series Fixed historical outliers 2012 Workshop on recent advances on Seasonal Adjustment 13

Special issues Investigate problems with chain-linked series and aggregation consistency Disrepancy (DIR-IND) after seasonal adjustment= Original difference (DIR-IND) + SA modelling effects Some evidence of seasonality and periodic behaviour in discrepancy between direct and indirect aggregates! Contribution to the total disrepancy from the effect of seasonal adjustment greater than the contribution from original discrepancy! Testing: Treat the discrepancy before seasonal adjustment of the chain- linked series as a separate series Seasonally adjust disrepancy 2012 Workshop on recent advances on Seasonal Adjustment 14

Further issues Recent problems : Seasonal patterns might be different after the crises in : How to test this (with only 3 years data)? How to treat moving seasonality? Arising needs for measures of uncertainty 2012 Workshop on recent advances on Seasonal Adjustment 15

Communication with users Improving communication : Transparency via detailed explanation of the procedures. Efforts to meet the users’ requirements despite conflicts between ”methodological” and ”economic” point of view. ”Educate” the less informed users. Internal education (production statisticans and others) 2012 Workshop on recent advances on Seasonal Adjustment 16

Near future Convert all existing production systems to PROC X12 in SAS 9.2 or later. Develop excessive documentation. Considering Testing more flexible models (unobserved components, state space etc). Testing multivariate procedures for seasonal adjustment. Testing extreme value distributions w.r.t. outlier treatment Workshop on recent advances on Seasonal Adjustment 17

…and Thank you for listening! 2012 Workshop on recent advances on Seasonal Adjustment 18