1. Handbook on Seasonal Adjustment
Update to SAEG
Dan A. Rieser 15 March 2018

2. Agenda 1. Stock-taking 2. Final structure of the handbook
3. Timeline for completion
4. Input from SAEG

3. Stock-taking
EUROSTAT initiative, dating back to (at least) 2013 Editors: Dominique Ladiray, Gian Luigi Mazzi
Collection of input from experts finalised
Review of existing chapters, including updating
No new / additional input expected
In total: 30 chapters, 10 parts, roughly 800 pages, plus ESS guidelines on seasonal adjustment

4. Final structure of the handbook
Parts
I General Aspects
VI - Revision and Communication
II - Pre-Treatment Methods
VII - Seasonal Adjustment in Practice
III - Seasonal Adjustment Methods
VIII - Seasonal Adjustment and Business Cycle
IV - Improving End-Point Estimates for Seasonal Adjustment
IX - Seasonal Adjustment of High Frequency Data
V - Seasonal Adjustment and Aggregation
X - ESS Guidelines on Seasonal Adjustment

5. Timeline for completion
SAEG consultation from 7 March to 6 April, cob
Inclusion of any comments from SAEG
Revision, proof-reading and checking, closely with editors, if needed
Publication (online and print version) in Q1 2018

6. Input from SAEG
EUROSTAT has circulated the final draft version of the handbook to members of the SAEG prior to this meeting
Members of the SAEG group are invited to comment on the handbook in writing (annotated pdf, or by or in writing/Word)
Purpose: Final check prior to publication

7. Further information Dan A. Rieser
ESTAT.C.1 National accounts methodology/Indicators

8. ANNEX A

9. Structure of the handbook: Parts and chapters
Introduction
I General Aspects
Seasonal Adjustment: Objectives, Definitions, Costs and Benefits
Time Series Components
A Brief History of Seasonal Adjustment Methods and Software Tools

10. Structure of the handbook: Parts and chapters
II - Pre-Treatment Methods
Calendar Effects
Moving Trading-Day Effects with X-12-ARIMA and TRAMO-SEATS
Series
Outlier Detection and Correction
Automatic Outlier Detection for the Basic Structural Time Series Model
Transformations and Seasonal Adjustment of Economic Time

11. Structure of the handbook: Parts and chapters
III - Seasonal Adjustment Methods
Background for ARIMA Model-Based Seasonal Adjustment
Seasonality and Unobserved Components Models: An Overview
Moving Average Based Seasonal Adjustment
Quality of Seasonal Adjustment in the Model-Based Approach of TRAMO-SEATS

12. Structure of the handbook: Parts and chapters
IV - Improving End-Point Estimates for Seasonal Adjustment
Trend-Cycle Estimation
Asymmetric Moving Averages Minimizing Phase Shift
Real Time Trend Extraction and Seasonal Adjustment

13. Structure of the handbook: Parts and chapters
V - Seasonal Adjustment and Aggregation
Benchmarking and Temporal Consistency
Seasonal Adjustment of European Aggregates: Direct vs. Indirect Approach
Multivariate Benchmarking: The Direct vs. Indirect Problem
VI - Revision and Communication
Revisions
Data Presentation Issues

14. Structure of the handbook: Parts and chapters
VII - Seasonal Adjustment in Practice
Quality Measures and Reporting for Seasonal Adjustment
Seasonal Adjustment of Short Time Series
Chain-linking of Quarterly National Accounts and Implications for Seasonal Adjustment

15. Structure of the handbook: Parts and chapters
VIII - Seasonal Adjustment and Business Cycle
The Effect of Alternative Seasonal Adjustment Methods on Business Cycle Analysis
The Effect of Seasonal Adjustment on Turning-Point Detection
Seasonal Adjustment and Business Cycles
The Impact of the Seasonal Adjustment Process of Business Tendency Surveys on Turning Points Dating

16. Structure of the handbook: Parts and chapters
IX - Seasonal Adjustment of High Frequency Data
Weekly Seasonal Adjustment: A Locally-weighted Regression Approach
Seasonal Adjustment of Daily and Weekly Data
X - ESS Guidelines on Seasonal Adjustment
The ESS Guidelines on Seasonal Adjustment

17. ANNEX B

18. Editors and contributing institutions
Editors: Dominique Ladiray, INSEE
Gian Luigi Mazzi, Independent Expert
Technical Editor: Dan A. Rieser, ESTAT, C1
Institutions: Australian Bureau of Statistics, Austrian Institute of Economic Research, Bank of Spain, Banque de France, Bundesbank, Bureau of Labor Statistics, ECB, Eurostat, Federal Reserve Board, GRETA, IMF, INSEE, National Bank of Belgium, ONS, Statistics Canada, U.S. Census Bureau
Universities: Nantes, Panthéon Assas - Paris II, Rome Tor Vergata, Venice, Zürcher Hochschule für Angewandte Wissenschaften