1. Issues on Seasonal Adjustment in the EECCA countries
UNECE Workshop on Short-Term Statistics (STS) and Seasonal Adjustment
14 – 17 March 2011, Astana, Kazakhstan
Issues on Seasonal Adjustment in the EECCA countries
Based on a UNECE Seasonal Adjustment Survey
Carsten Boldsen Hansen
Economic Statistics Section, UNECE

2. Agenda Objective & Scope of the Survey of 2008 Survey Findings
Current State of Seasonal Adjustment
Dissemination Policies
Applied Seasonal Adjustment Approach
Pre-Treatment of Time Series
Validation of Seasonal Adjustment
Plans for Future Development
Recommended Future Measures
March 2011

3. Objective & Scope of the Survey
UNECE survey to National Statistical Offices (NSOs) and Central Banks (CBs)
Conducted in October 2008
Targeted to 17 CIS and Western Balkans countries
11 answers were received from 10 different countries
To obtain information on the current state in order to offer support
Main factors identified:
Non-comparability due to lack of seasonal adjustment
Many have started seasonally adjusting
Interest is raising in order to:
Detect turning points earlier
Enable comparison of sectors of the economy and countries
March 2011

4. Current State of SA Practices
11/17 countries publish some SA data
Most common statistics seasonally adjusted are:
GDP (6), Industrial production (3), Exports and imports (4)
NSOs adjust about 30 monthly and 30 quarterly time series
9 NSOs reported limited capacity in terms of SA
Unified SA procedure in 5/9 offices
All NSOs that perform SA have some methodological descriptions about SA
Length of SA time series vary between 48 – 216 months, and quarterly between 16 – 72 quarters
March 2011

5. Dissemination of SA Data
Most publish raw data, SA and trend series
SA series are usually published in regular publications and/or on the Internet
None of the countries published working day adjusted series
Most NSOs publish metadata on the methods of seasonal adjustment
All eight countries that produce SA series disseminate the data also in paper publications
March 2011

6. Seasonal Adjustment Approach
The most commonly used SA approach is X-12-ARIMA <> TRAMO/SEATS in EU
Some tendency to shift towards using TRAMO/SEATS and “X-13 ARIMA/SEATS”
“X-13-ARIMA/SEATS” was expected to be the future tool for seasonal adjustment
> Demetra+ software
4/9 NSOs currently performing SA have chosen their approaches via international orgs
March 2011

7. Seasonal Adjustment Approach
Number of countries
March 2011

8. Pre-Treatment of Time Series
= graphical analysis, calendar adjustment, model selection, filters, outliers and parameters
Frequency of updating parameters varies
Some do not regularly update the parameters
Some update them, when new data appends
One country updates also in case of atypical weather conditions
The choice of regressor differs
The most commonly used regressor in seasonal adjustment is either working days or working days and specific holidays
Outliers are detected in most cases by tests
Outliers are validated by experts in Armenia, Bosnia and Herzegovina and Kazakhstan
It is recommended to document events causing outliers!
March 2011

9. Validation of Seasonal Adjustment
Mostly by using graphical inspection, autocorrelation function and measures of stability over time
Graphical inspection:
Deviation between the raw and SA series
Standard deviation relative to trend
Intuitive assessment
Two countries mentioned analysing significant peaks of the autocorrelogram of the raw series
One uses the Box-Pierce statistics and three use F-tests
Use of validation measures depends on the SA software used
March 2011

10. Validation of Seasonal Adjustment
Residuals and fit statistics were less used
Four countries mentioned using M-Statistics as a quality measure of the results
A set of common quality measures are being constructed
US Census Bureau, Eurostat and the Bank of Spain
For all seasonally adjusted series to be assessed by the same criteria
> Demetra+ includes some quality measures both from X-12-ARIMA and TRAMO/SEATS
March 2011

11. Validation of Seasonal Adjustment
Number of countries
March 2011

12. Plans for Future Development
All countries indicated some need for assistance, because of the lack of resources and knowledge
Five countries reported receiving assistance from international organizations
Regional training or workshops proposed by most of the respondents
Exchange of methodological information and experiences were suggested
Type of Assistance Needed
Training 10
Technical assistance 9
Methodological material in Russian 7
Methodological material 4
Funding 3
March 2011

13. Future Measures All reported some need for assistance
UNECE will organize training workshops in 2010 – 2012
Methodological material and practical guidelines will be produced and published also in Russian
What are your plans now?
Will be discussed next
March 2011