The unece organizes with the financial support of the World Bank

A calendar month comprises four weeks (28 days) plus extra one, two or three days

Rarely an issue in quarterly data, since quarters have 90, 91 or 92 days

Trading Days

Moving Holidays

• = The impact on the series of holidays whose exact timing shifts from year to year

• Examples of moving holidays:

• Easter
• Chinese New Year - where the exact date is determined by the cycles of the moon
• Ramadan

Moving Holidays

Working Days and Seasonality

Sudden Changes

• Outliers

• Extreme values with identifiable causes (strikes or extreme weather conditions)
• Part of irregular component

• Trend breaks (level shifts)

• The trend component suddenly increases or decreases in value
• Often caused by changes in definitions (tax rate, reclassification)

• Seasonal breaks

• The seasonal pattern changes, e.g. due to a structural change caused by a crisis or administrative issues such as timing of invoicing

Pre-conditions for Seasonal Adjustment

• Good quality of raw data

• Strange values to be checked (zeros or outliers)
• Revision of errors with new acquired data

• Length of time series 36/12 or 16/4

• At least 36 observations for monthly series and 16 observations for quarterly series needed

• Consistent time series

• To provide data according to a base year
• Use of comparable definitions and classifications
• Remove non-comparable changes

• Solid structure

• Presence of seasonality, moderate volatility
• No major breaks in seasonal behaviour

Seasonal Adjustment Process with Demetra+

• Anu Peltola

• Economic Statistics Section, UNECE

Overview

• Seasonal adjustment process:

• Prepare and check

• Define and adjust

• Analyse and refine

• Document and publish

Prepare and check

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

Check the original series

• 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

Check the original series

• Is seasonality present in the original series?

Define and 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)

Seasonally adjust

• To launch adjustment

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