1 Departamento de Contas Nacionais / Serviço de Indicadores de Curto Prazo National Accounts Department / Short Term Statistics Unit Using Demetra+

2  Short term statistics unit is concerned on producing high quality seasonally adjusted data, following closely the SA guidelines and is already sending SA and/or WDA indices for all STS variables which have a statistically significant seasonal pattern.  The volume of data production on STS is burdensome and seasonal adjustment is especially time consuming.  Eurostat requires to produce mass volumes of seasonally adjusted data and sometimes does not take into account the scarce resources available at national institutes, the relative importance of the series, the relevance of the requested information or even if seasonal adjust some indicators has a real meaning (ex: building permits). Seasonal adjustment for short term statistics

3 It is worth remembering that: (in ESS Guidelines)  “Seasonal adjustment must be performed only when there is a clear statistical evidence and economic interpretation of the seasonal/calendar effects” ;  “Making any seasonal and/or calendar adjustment on series which do not show any evidence of such effects is an inappropriate statistical treatment”;  “Series can be characterized only by seasonal effects without significant calendar ones” or “series can be only characterized by calendar effects without seasonal ones”; Seasonal adjustment for short term statistics

4  “Inappropriate or low-quality seasonal adjustment can generate misleading results and increase the probability of false signals (credibility effects);  “The presence of residual seasonality, as well as over- smoothing, are concrete risks which could negatively affect the interpretation of seasonally adjusted data.” Seasonal adjustment for short term statistics

5 Seasonal adjustment process at Statistics Portugal: The model, filters, outliers and regression parameters are re- identified and the respective parameters and factors re- estimated once a year or whenever significant revisions occur. The seasonal and calendar factors are forecasted and these forecasts are used until the next revision of raw data. –This option minimizes the frequency of revisions, that are concentrated mostly during the month of March (April ).

6 Seasonal adjustment for short term statistics All time series are seasonally adjusted on an individual basis. Seasonal and calendar adjusted aggregates are obtained as a weighted sum (the same weights used to aggregate the raw series). The approach used for seasonal adjustment is mostly the model-based one, with the software TRAMO-SEATS in Demetra. For some series, due to their characteristics, we prefer X12ARIMA.

7 Seasonal adjustment for short term statistics The steps for annual seasonal adjustment procedure: 1.Graphical analysis of the raw data 2.Choice of the pre-treatment: 1.trading/working day, moving holidays and national calendars 2.Type of outliers (AO, LS, TC) 3.First exploratory automatic run of the seasonal adjustment on Demetra+ on the complete set of series 4.Detailed analysis

8 Seasonal adjustment for short term statistics 1.Graphical analysis of the raw data provides useful information: 1.Length of the series (ex: for activities that are dying out) 2.Presence of strange values 3.Presence of breaks 4.Changes in seasonal behaviour 5.Trend… 6.Periodogram and Spectrum provide information on the presence of the seasonal component and/or trading- day effect. Demetra+ makes this part of the analysis easier!

9 Seasonal adjustment for short term statistics 2.Choice of the pre-treatment: 1.First explanatory run of the SA on Demetra+ 2.Removal of all effects related to calendar effects Demetra+ presents three different views for the Default Option –Trading Days : (no. of Mondays) – (no. Of Sundays), …., (no. of Saturdays) – (no. of Sundays) –Working Days : (nº of (M, T, W, Th, F))– (nº of (Sat, Sund) x 5/2) –None Easter Effect National calendars are not available. Some problems occurred during this step

10 Seasonal adjustment for short term statistics Easter-effectProblem with Easter-effect (reported): no adjustment for 2010 (there was a bug on TS already corrected by Mr. Maraval) –For Tramo-Seats there is no adjustment for 2010 (there was a bug on TS already corrected by Mr. Maraval)

11 Seasonal adjustment for short term statistics Tramo-Seats and X12 Easter regressors differ from a constant. Both seem to count the difference between the number of days before Easter in March and/or in April. Why the difference of X12 and Tramo Seats Easter regressors?

12 Seasonal adjustment for short term statistics On JDemetra, when we select the Easter box, the Easter day is considered on the off-set period. Tramo-Seats and X12 Easter regressors differences are higher when the off-set period contains days in March and in April. Easter regressors – selection of Easter box option?

13 Seasonal adjustment for short term statistics Problem with National Calendar: WORKING DAYS: (nº of (M, T, W, Th, F)) – (nº of (Sat, Sund) x 5/2) TRADING DAYS: (no. of Mondays) – (no. Of Sundays), …., (no. of Saturdays) – (no. of Sundays) What if a national holiday is on Saturday or Sunday? leap year seems to be always accepted Demetra+ doesn’t have an option for automatic reducing the number of trading day regressors? Even with very low t-stat at least the leap year seems to be always accepted.

14 Seasonal adjustment for short term statistics National CalendarProblem with National Calendar: –Example for 2007: WORKING DAYS:(nº of (M, T, W, Th, F)) – (nº of (Sat, Sund) x 5/2)

15 Seasonal adjustment for short term statistics National Calendar:Problem with National Calendar: –Example for 2007: 2007: WORKING DAYS

16 Seasonal adjustment for short term statistics Problem with National Calendar - Trading day –Example for 2007: (no. of Mondays) – (no. Of Sundays), …., (no. of Saturdays) – (no. of Sundays)

17 Seasonal adjustment for short term statistics 3.Results of explanatory first run – nice presentation and a lot of information!

18 Seasonal adjustment for short term statistics Matrix view allows to see the automatic results of outliers identification. This is a good tool to use in the phase of pre- treatment of the series. Series with many outliers need a more detailed analysis in order to identify possible causes and, when necessary, pre-specify outliers, create intervention variables…

19 Seasonal adjustment for short term statistics 4.Analysis of the results – Detailed analysis: At this point, we can access more detailed information on the statistics, graphics, spectral analysis… Here it is possible to estimate new models, add/remove outliers, change the options of the trading days, create intervention variables….

20 Seasonal adjustment for short term statistics A “problem” in the Stochastic series table: For this example, t he Results of the Seasonally Adjusted Series offered in this table equals: Original series-Deterministic component-Seasonal component - constant Deterministic component = Calendar effects + Total outliers effect

21 Seasonal adjustment for short term statistics Another example: –Seasonally adjusted series = Original - Calendar-Seasonal Component + Correction of the Level (constant symmetric of the Total outliers effect of the beginning of the series)

22 Seasonal adjustment for short term statistics The names of the result series on this table are a little puzzling! –Maybe can be added “preliminary adjustments” and also in the csv output files.

23 Seasonal adjustment for short term statistics It is possible to generate the output for the results, but it is not so user friendly as it was for Demetra2. Excel output doesn’t contain the seasonal component, calendar effects or Easter effects component with respective forecasts. The Seasonal Component of the options is in reality the Final Seasonal Component. Neither the Final seasonal component nor the original and adjusted series have the respective forecasts.

24 Seasonal adjustment for short term statistics CSV format is the option is to export the results of all components and respective forecasts. presented in separated CSV files.Unfortunately the Original, SA, Calendar Adjusted, Seasonal component… series and their respective forecasts are presented in separated CSV files. More burden to join the results in order to use them in our production application and may be a source of errors.More burden to join the results in order to use them in our production application and may be a source of errors. overwrite CSV Output – it would be very useful to have the option to overwrite previously generated output instead of creating new files

25 Seasonal adjustment for short term statistics When we export CSV matrix we obtain the information about the models, the quality tests and diagnostics. However, there are some column labels not available, making difficult to identify the contents.

26 Seasonal adjustment for short term statistics I assumed that LP stands for Leap Year, but the column is empty and the results for Leap Year are the ones of the last computed trading day.

27 Seasonal adjustment for short term statistics I didn’t find the model parameter correlation matrix, important to assess the stability of the model. Parsimonious model – the numbers of the p or q parameters very rarely need to be greater than 2. It seems important to have (may be in the summary results) an alert for series with many regressors (number of parameters of the model + nº of outliers + nº of trading days) and also for models with coefficients near 1).

28 Seasonal adjustment for short term statistics In this example 133: –From the main results it seems that it is a good model, but when looking for the year on year rate of change graph we can see the big impact of the correction.

29 Seasonal adjustment for short term statistics SEASONAL OUTLIERS are not yet considered in the automatic outlier detection? It would be useful to have this option available, together with the possibility to pre-specify these outliers. –Ex: November Christmas pay that changed to December (seasonality become less important for November and more important in December) The date of the annual sales changed, anticipating them by a few weeks or new collections arrive earlier. Seasonality, for some particular month(s), has become more volatile.

30 Seasonal adjustment for short term statistics Level Shift and changes in seasonality

31 Seasonal adjustment for short term statistics For a better understanding of the results, it would be nice to have a description of the content of the output files.

32 Seasonal adjustment for short term statistics About the possibility of users to add new modules or make improvements… to Demetra+: –It is very good to have a flexible tool that allows new developments, but… Resources are scarce and there are not so many people with both statistics background and considerable programming experience to develop additional modules for seasonal adjustment purposes!Resources are scarce and there are not so many people with both statistics background and considerable programming experience to develop additional modules for seasonal adjustment purposes!

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