1. Ketty Attal-Toubert and Stéphanie Himpens Insee 22nd of June, 2011 An Overview of seasonal adjustment in the short term statistic department

2. Page 2 Which Series are seasonally adjusted ? › IPI : 91 series, NACE3 Level › Turnover Indexes : 440 series, NACE (3-digit) in industry and NACE (5-digit) in other sectors. › All are monthly series.

3. Page 3 The seasonal adjustment process › According to Eurostat in ESS Guidelines on seasonal adjustment, we implement two processes : – Each year a complete review of the models – Each month a re-estimation of the parameters of the models defined by the annual process. Outliers are re- identified on the last period. => Partial concurrent adjustment

4. Page 4 The seasonal adjustment process › Indirect seasonal adjustment : – Seasonally and calendar adjusted series of the aggregates are computed as a weighted sum of their constitutive series.

5. Page 5 Methods and tools › Since January we use X12-ARIMA in Demetra+. › We developped a set of SAS macros to do some steps of the annual and monthly campaigns.

6. Page 6 The annual seasonal adjustment process › The annual process is done in 8 stages : 1.Specification of the number of Trading days regressors. Different sets of regressors are considered depending on the sector of activity (retail trade, industry or services). 2.Several versions of workspaces are computed (Automatic, old models, …). Quality reports are computed. 3.Comparaisons are made between the different versions (graphs and quality reports) to select the best model for each series. 4.Interactive changes are made in the specifications of problematic series in order to improve quality. 5.Final quality report 6.Final graphical comparison. 7.Global notation of the treatment. 8.Search for better specifications for series which cause a decline in quality of aggregates.

7. Page 7 Annual process Specification of number of regressors Computing of workspaces (automatic, old etc.) Interactive search of new specifications. (first check of quality and revisions in Demetra+) Demetra + shows poor diagnostics Quality reportGraphical comparison New/current Global notation (old and new) Unsatisfying quality report Comparisons of quality reports and graphs. => Selection of the best models.

8. Page 8 Monthly campaigns 1.Change is made in the linked file of the main workspace 2.Seasonal adjustment in Demetra+ is launched from SAS. 3.Quality control of seasonal adjustments is done in Demetra+. 4.Change of some specifications if needed. 5.Export of the results 6.Saving of the workspace, the linked data file and the specifications in a safe place.