The unece organizes with the financial support of the World Bank

By EUROSTAT with Jens Dossé, Servais Hoffmann, Pierre Kelsen, Christophe Planas, Raoul Depoutot

Includes both X-12-ARIMA and TRAMO/SEATS

Modern time series techniques to large-scale sets of time series

To ease the access of non-specialists

Automated procedure and a detailed analysis of single time series

Recommended by Eurostat

X-12-ARIMA vs. TRAMO/SEATS

Demetra+ software

• Users can choose:

• Tramo-Seats model-based adjustments
• X-12-ARIMA

• One interface

• Aims to improve comparability of the two methods

• Uses a common set of diagnostics and of presentation tools

• Necmettin Alpay Koçak is a member of the testing group

Common Guidelines

• Use tools and software supported widely

• Demetra+ will be supported by Eurostat
• Methodological guidelines will be available
• Results will be more comparable

• Use your national calendars

• Dedicate enough human resources to SA

• Define a SA strategy

• Aim at a clear message to the users

• Consider which series serve the purpose of the indicator
• Document all relevant choices and events

Useful references

• Eurostat is preparing a Handbook on Seasonal Adjustment

• ESS Guidelines on Seasonal Adjustment

• http://epp.eurostat.ec.europa.eu/cache/ITY_OFFPUB/KS-RA-09-006/EN/KS-RA-09-006-EN.PDF

• Central Bank of the Republic of Turkey (2002). Seasonal Adjustment in Economic Time Series. http://www.tcmb.gov.tr/yeni/evds/yayin/kitaplar/seasonality.doc

• Hungarian Central Statistical Office (2007). Seasonal Adjustment Methods and Practices. www.ksh.hu/hosa

• US Census Bureau. The X-12-ARIMA Seasonal Adjustment Program. http://www.census.gov/srd/www/x12a/

• Bank of Spain. Statistics and Econometrics Software. http://www.bde.es/servicio/software/econome.htm

• Australian Bureau of Statistics (2005). Information Paper, An Introduction Course on Time Series Analysis – Electronic Delivery. 1346.0.55.001. http://www.abs.gov.au/ausstats/abs@.NSF/papersbycatalogue/7A71E7935D23BB17CA2570B1002A31DB?OpenDocument

Issues on Seasonal Adjustment in the EECCA countries

• Based on a UNECE Seasonal Adjustment Survey

• Carsten Boldsen Hansen

• Economic Statistics Section, UNECE

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

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

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

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

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