1. Using Demetra+ at NSO of FI, - first results of testing
Faiz Alsuhail,

2. Introduction
Statistics Finland currently uses Tramo/Seats and Demetra (v. 2.2) to run seasonal adjustment.
This test is about using Tramo/Seats in J-Demetra+ (v ) .
The question is whether the results (seasonally adjusted time series, trend, trading day corrected series) are the same in both software programs. Identical model settings are used.
Faiz Alsuhail/ Statistics Finland

3. Time series studied We study five time series:
Gross national product (GNP)
Volume index for industrial output (VIIO), total industries
Labor cost index (LCI) for all industries in private sector
Unemployment rate for year old
Retail trade
These time series are important, draw considerable attention from the users. They are seasonally adjusted in different ways.
Faiz Alsuhail/ Statistics Finland

4. Time series studied Series Freq. Series span n° of obs. n° of TD regr.
n° of outliers
Transf.
ARIMA-model
GNP
Quarterly
1990Q1 -
2012Q4 92 1 2
Log
(0 1 1) (0 1 1)
VIIO
Monthly
1995M M1
217 7 3
LCI
2007Q1 - 24 6
None
Unempl.
1988M M2
302 5
(2 2 1) (0 1 1)
Retail trade
Faiz Alsuhail/ Statistics Finland

5. How the study was made?
For the sake of comparability we use the same seasonal adjustment settings as in Demetra. This includes:
Transformation: Logarithm/ none;
ARIMA model and mean correction;
Trading day correction, correction for national holidays, correction for Easter effect
Outliers, including type and timing;
We are interested in the quarter-to-quarter (month-to-month) growth rates of the SA series.
For the unemployment rate we are interested in the levels.
Faiz Alsuhail/ Statistics Finland

6. Are the quarter-to-quarter growth rates (SA) different? GNP.
Faiz Alsuhail/ Statistics Finland

7. Are the quarter-to-quarter growth rates (SA) different? LCI.
Faiz Alsuhail/ Statistics Finland

8. Are the month-to-month growth rates (SA) different
Are the month-to-month growth rates (SA) different? Volume index for industrial output.
Faiz Alsuhail/ Statistics Finland

9. Are the month-to-month growth rates (SA) different? Retail trade.
Faiz Alsuhail/ Statistics Finland

10. Differences in growth rate
Average of Differences in Growth Rates (SA), percentage points
Median of Differences in Growth Rates (SA), percentage points
GNP
0,19
0,11
LCI
0,34
0,30
VIIO
0,64
0,50
Retail Trade
0,82
0,65
Faiz Alsuhail/ Statistics Finland

11. Are the levels (T) different? Unemployment.
Faiz Alsuhail/ Statistics Finland

12. Unemployment J-Demetra+ Demetra Outliers Yes, 5 outliers
TC1993m2 value
1,2896
 1.2893
TC1993m2 t-value
3,69
3.68
TC1995m1 value
0,9689
 0.9679
TC1995m1 t-value
2,77
2.77
TC1995m7 value
1,4558
 1.4550
TC1995m7 t-value
4,17
4.16
TC1996m3 value
-1,6482
TC1996m3 t-value
-4,72
-4.72
TC2000m2 value
1,4398
 1.4397
TC2000m2 t-value
4,13
4.13
Faiz Alsuhail/ Statistics Finland

13. Conclusion
This study suggests that if an NSI is using Tramo/Seats then:
Switching from Demetra to J-Demetra+ will cause revisions in the published figures.
The differences seem to larger for time series with many trading day regressors.
It might be good to consider:
The timing of the switch.
To which extend is it worthwhile to keep the same model settings as in Demetra.
Communicating the change to the users.
Faiz Alsuhail/ Statistics Finland