1. Seasonal Adjustment Methods and Country Practices
Based on the Hungarian Central Statistical Office:
Seasonal Adjustment Methods and Practices
Artur Andrysiak
Economic Statistics Section, UNECE

2. Overview
Background
Summary of the survey conducted by the Hungarian Statistical Office
UNECE Survey
October 2008

3. Seasonal Adjustments Methods
TRAMO/SEATS
X12-ARIMA
X11-ARIMA
X13-ARIMA/SEATS
Other, including BV4
October 2008

4. Background
In 2006 the Hungarian CSO conducted a study of Seasonal Adjustment Practices in European NSOs
Hungarian CSO sent a Questionnaire to most of the European countries
The questionnaire was consistent with the questionnaire sent in 2002 by OECD
The results were summarized in the Hungarian CSO publication: Seasonal Adjustment Methods and Practices
October 2008

5. Why study seasonal adjustment practices of other NSOs
Results provide good insight into which method and software countries prefer to use
Looking at countries which are in the process of implementing seasonal adjustment in their statistical systems (such as Poland) might provide with good suggestions as to what is a good way of starting up
Results provide valuable insights on country practices regarding issues such as reanalysis, concurrent vs forward, outliers, aggregation, etc.
October 2008

6. Study of Seasonal Adjustment Methods used by NSO in Europe
October 2008

7. Study of Seasonal Adjustment Methods used by NSO in Europe (used in 2006)
October 2008

8. Study of Seasonal Adjustment Methods used by NSO in Europe (future use of SA methods – planned in 2006)
October 2008

9. Software Used by NSOs in 2006
October 2008

10. Aggregating methods
Outliers handling
October 2008

11. Application of SA
Publication policy
October 2008

12. Metadata
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13. Validation of results Graphic Inspection Statistics on Residuals
Stability Over Time
Autocorrelation Function
Other Alternatives
spectral analysis of residuals,
variability of the SA series,
tests of parameters of the ARIMA-models,
consistent estimates of TD/WD effects,
graphical inspection of the residuals and the changes of the SA series and the estimated outliers
similarity of quarterly rates (with respect to the corresponding quarter to the previous year) of raw and SA series
October 2008

14. Validation of results
October 2008

15. Assess your needs and the needs of your users
Suggestions for countries planning to begin producing and publishing seasonally adjusted statistics (UNECE)
Assess your needs and the needs of your users
Allocate sufficient resources
Provide staff with resources to learn and develop expertise in SA
Evaluate the possible options and choose the most suitable seasonal adjustment method and software (simple and reliable)
Allow plenty of time for experimenting and evaluation of results
Ensure good communication between the seasonal adjustment team and the subject-matter area
Do not publish any seasonally adjusted statistics until confident with the results
October 2008

16. Consult the main users and seek their comments
Suggestions for countries planning to begin producing and publishing seasonally adjusted statistics (UNECE)
Consult the main users and seek their comments
Ensure that you have a clear seasonal adjustment policy: covering such issues as method, software, reanalysis, aggregation, outliers, etc.
When publishing SA statistics ensure that users can easily access relevant metadata
Ensure that users can access (electronically) the complete timeseries: original, seasonally adjusted, (trend and working day adjusted)
If possible keep users inform about major events/factors affecting seasonally adjusted statistics
Ensure subject matter areas are involved in validation of SA statistics
October 2008

17. Results of UNECE (informal) study of Seasonal Adjustment Practices in the CIS and South-East European countries (conducted at the end of 2007)
Of the 17 countries examined only two publish seasonally adjusted series
The Russian Federation and Georgia are the only two SEE and CIS countries which publish on their websites any seasonally adjusted statistics (both countries publish only seasonally adjust IPI statistics).
The remaining 15 countries do not publish any seasonally adjusted statistics and instead most of these NSOs publish only:
Percentage change from same month/quarter last year; or/and
Percentage change from same year-to-date period last year.
In number of countries in absence of official seasonally adjusted economic statistics Central Banks and other organizations seasonally adjust economic statistics themselves
October 2008

18. UNECE Survey on Seasonal Adjustment Methods, Practices and Future Intentions
Excel based and on-line questionnaire
3 Parts: general, for countries not producing SA statistics, for countries currently producing SA statistics
Sent to 17 Countries (CIS and South East European)
National Statistical Offices and Central Banks
October 2008

19. UNECE Questionnaire on Seasonal Adjustment Methods, Practices and Future Plans
3 parts of the questionnaire
Part A - General Questions (8 questions)
Part B - Seasonal Adjustment Intensions and Plans (12 questions)
Part C - Seasonal Adjustment Methods and Dissemination Policy (24 Questions) (Based on OECD and Hungarian Statistical Office Questionnaire)
By beginning of November 10 out of 17 NSO provided responses
Unfortunately only 1 out of 17 CBs responded
October 2008

20. Highlights Perform SA Publish SA statistics Have some capacity in SA
Receive assistance from IO
Need assistance from IO
Armenia CB 1
Armenia NSO
Azerbaijan NSO
Belarus NSO
Bosnia and Herzegovina NSO
Kazakhstan NSO
Kyrgyzstan NSO
Russian Federation NSO
Serbia NSO
Tajikistan NSO
Ukraine NSO
October 2008

21. Highlights
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22. Highlights
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23. Highlights
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24. Highlights
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25. Highlights
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26. Highlights
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27. Highlights
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28. Highlights
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29. Highlights
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30. Highlights
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31. Highlights
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32. Questions?
THANK YOU
October 2008