The unece organizes with the financial support of the World Bank

Overlapping method

• Actual comparable changes are not adjusted
• Other changes are made comparable by
• a. Collecting comparable information (largest units)
• b. Replacing non-comparable figure by an estimate
• c. Taken the unit out of calculation (no effect to results)
• Requires more work
• Results reflect actual changes in economic activity

Compilation Confrontation with Other Sources

• Regular confrontation may reveal discrepancies

• Aim at coherence: value = price x output

• First at the aggregated level and where necessary at lower levels (largest units)

• Knowledge of differences between statistics helps communication with users

• Quality reviews of indicators to be undertaken

New Requirements for STS?

• Globalization

• Internationally comparable data needed
• Treatment of more complex business activities

• Increasing amount of services

• Output and price measures, industrial services

• Detection of turning points

• Longer time series and seasonal adjustment

• Coherence

• Compare to National Accounts and between price/volume/value indicators

Components of Time Series, Seasonality and Pre-conditions for Seasonal Adjustment

• Anu Peltola

• Economic Statistics Section, UNECE

Overview

• Basic Concepts

• Components of Time Series

• Seasonality

• Pre-conditions for Seasonal Adjustment

Basic Concepts

• Index comes from Latin and means a pointer, sign, indicator, list or register

• A ratio that measures change
• As per cent of a base value (base always 100)
• Each observation is compared to the base value

• Time series are a collection of observations, measured at equally spaced intervals

• Stock series = at a point in time (discrete)
• Flow series = period in time (continuous)

Components of Time Series

• Seasonal adjustment is based on the idea that time series can be decomposed
• The components are:
• Seasonal
• Irregular
• Trend

Relation of Components

Seasonal Component

• = Depicts systematic, calendar-related movements
• has a similar pattern from year to year
• refers to the periodic fluctuations within a year that re-occur in approximately the same way annually
• Is removed in seasonal adjustment

Irregular Component

• = Depicts unsystematic, short term fluctuations

• The remaining component after the seasonal and trend components have been removed

• Certain specific outliers, such as those caused by strikes, also belong to this component

• Sometimes called the residual component

• May or may not be random with random effects (white noise) or artifacts of non-sampling error (not necessarily random)

Trend Component

• = Depicts the long-term movement in a series

• A trend series is derived by removing the irregular influences from the seasonally adjusted series

• A reflection of the underlying development

• Typically due to influences such as population growth, technological development, inflation and general economic development

• Sometimes referred to as the trend-cycle

IPI – Kazakhstan An Example of the Components of Time Series

Causes of Seasonality

• = seasons e.g. holidays and consumption habits, which are related to the rhythm of the year

• Warmth in summer and cold in winter BUT not extreme weather conditions (irregular component)

• Seasonality reflects traditional behavior associated with:

• The calendar
• Christmas and New Year
• Social habits (the holiday season),
• Business (quarterly provisional tax payments) and
• Administrative procedures (tax returns)

Seasonality

Seasonal Effect

• = Intra-year fluctuations in the series that repeat

• A seasonal effect is reasonably stable with respect to timing, direction and magnitude

• The seasonal component of a time series is comprised of three main types of systematic calendar-related influences:

• Seasonal influences
• Trading day influences
• Moving holiday influences

Trading Day Effect

• = The impact on the series, of the number and type of days in a particular month

• Different days may have a different weight

•