United Nations Economic Commission for Europe Statistical Division Seasonal Adjustment Process with...

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United Nations Economic Commission for EuropeStatistical DivisionUnited Nations Economic Commission for EuropeStatistical Division

Seasonal Adjustment Process with Demetra+

Anu PeltolaEconomic Statistics Section, UNECE

March 2011 UNECE Statistical Division Slide 2

Overview

Seasonal adjustment process:

Prepare and check Define and adjust Analyse and refine Document and publish

Prepare and check

Open Demetra+

Prepare a source file

Import data

Check the original series

Open Demetra+

The program can be downloaded at: http://circa.europa.eu/irc/dsis/eurosam/info/data/demetra.htm

Can be used free of charge

Prepare a source file

Many types of files are suitable Excel file either horizontal or vertical

Import data

You can copy and paste• But you will have to do this

every time Dynamic updates possible

• Next time you do not have to import again

The quality of seasonal adjustment depends on the quality of the raw data. • accuracy, • length of time series (36/16), • quality of production methods and • consistency of time series

Demetra+ provides many visual tools, i.e. to test the presence of seasonality

Is seasonality present in the original series?

Define and adjust

Select an approach

Prepare calendars

Select regressors

Seasonally adjust

Select an approach

Choose to process only one time series or multiple series

Select the approach (X12 or T/S)• Working instructions for beginning

seasonal adjustment with Demetra+ written for TRAMO/SEATS

• More instructions for the use of X-12-ARIMA in the Demetra+ Manuals

Prepare calendars

Demetra+ includes some predefined holidays, but not national holiday calendars of all countries• Collect a time series of your national holidays

Prepare the calendar by • Selecting from the pre-specified holidays• Defining exact dates • Setting a validity period

Select regressors

= Define the specification Start the analysis with the

default specifications • choose first either four (RSA4)

or five (RSA5)

Mark your specification

RSA0 level,airline model

RSA1 log/level,outliers detection, airline model

RSA2 log/level, working days, Easter, outlier detection, airline model

RSA3 log/level, outlier detection, automatic model identification

RSA4log/level, working days, Easter, outlier detection, automatic model identification

RSA5log/level, trading days, Easter, outlier detection, automatic model identification

Seasonally adjust

To launch adjustment • double click on the series or• select from the main menu:

Seasonal adjustment/ Single Analysis/ New

Seasonal adjustment/ Multiprocessing/ New

SAProcessing-xx/ Run

Save to the workspace

double click

Seasonally adjust

For second adjustment of the same data, decide your update strategy

Current adjustment = fixed forecasts Concurrent adjustment = nothing fixed

Analyse and refine

Visual check

Models applied

Quality Diagnostics

Refine and adjust

Visual check

Is the seasonal component lost in the irregular?

Visual check

Check the S-I ratio for moving seasonality

Models applied

Information about pre-processing: • the estimation time span used, • corrections for trading days and Easter,• type of applied ARIMA model, • the dates and types of outliers as well as• the distribution of residuals

Information about decomposition:• the applied decomposition model, • statistical indicators to validate the model

Quality Diagnostics

Demetra+ offers a wide range of quality measures

Verbal description also Basic checks = annual totals Residuals, i.e. the part of data

not explained by modelling, should not include any information

Quality Diagnostics

Is there some residual seasonality after adjustment?

Quality Diagnostics

Are there large revisions – is the model stable?

Quality Diagnostics

Do the residuals follow the normal distribution?

Are they random?

Refine and adjust

Seasonal adjustment is an iterative process After the first adjustment, you can try different

specifications • For example, from RSA 5 to RSA 4

In multiprocessing, you can edit a single series by double clicking its name in the results

You can maintain the previous adjustments for comparison

Document and publish

Document choices

Export data

Prepare publication

Support users

Document choices

Document the first page of Main results, Pre-processing, Decomposition and Diagnostics

Archive the resulting time series for later revision analysis

Prepare metadata to be published to the users of statistics• ESS metadata template• OECD Data and Metadata Reporting and

Presentation Handbook

Export data

You can export to several kinds of outputs • Main menu: SAProcessing-xx/Generate output• Copy: TramoSeatsDoc-x/Copy/Results

Prepare publication

Redesign the content of data releases when you start with seasonally adjusted data

Consider how to explain revisions, and plan in advance how to revise these data

The press releases should be simple• Offer some more details on the web site, e.g.

regional or industry level data

Support users

Seasonal adjustment aims at better service for the users of statistics

Define a clear framework / policy • choice of method and software• timing of reanalysis of parameters and models • treatment of outliers • practices with revision and dissemination

United Nations Economic Commission for Europe Statistical Division Seasonal Adjustment Process with...

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