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Issues for discussion in the Workshop on Seasonal Adjustment

UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey. Issues for discussion in the Workshop on Seasonal Adjustment. Anu Peltola Economic Statistics Section, UNECE. Capacity Building on New Challenges in Economic Statistics.

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Issues for discussion in the Workshop on Seasonal Adjustment

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  1. UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey Issues for discussion in the Workshop on Seasonal Adjustment Anu Peltola Economic Statistics Section, UNECE

  2. Capacity Building on New Challenges in Economic Statistics • UNECE organizes with the financial support of the World Bank • Workshop I – Short-Term Economic Statistics (STS) and Seasonal Adjustment, 14-17 March 2011, Astana • Workshop II – Challenges in Consumer Price Indices, 10-13 October 2011, Istanbul • Workshop III – Implementation of the 2008 System of National Accounts, 29 November - 2 December 2011, Kiev • Workshop IV – Seasonal Adjustment, 20-23 February 2012, Ankara

  3. Issues Rising from the Case Studies • Four main topics for this workshop: • Using calendars and regressors > accuracy • Refining seasonal adjustment > quality • Reading quality diagnostics > knowledge • Publishing seasonally adjusted data > readability

  4. Using Calendars and Regressors • What is the impact of calendar effects on measuring economic activity? • How to specify the national calendar step-by-step? • How to make sure that the calendar was correctly defined in Demetra+? • How to analyse the suitability of a calendar? • How to connect the national calendar to the built-in calendar variables?

  5. Refining Seasonal Adjustment • How to improve the quality of first seasonal adjustment? For example, if I get bad or severe results. • How to fix bad spectral seasonal peaks? • How to select between specifications (RSA0-RSA5)? Explain the options in detail. • How to create your own specification? • How to be sure that the results are correct and correctly interpreted? How to avoid mistakes? • Do we need to adjust for outliers or the irregular component before seasonal adjustment?

  6. Reading Quality Diagnostics • How to read and understand the results? • What do these concepts mean: irregular component, trend-cycle – ARIMA model? • More detailed information on analysing residuals • Do outliers influence the final results? • When are the results questionnable? • When is volatility too high? • When is seasonality significant? • If there are small spectral peaks for residuals? • If there is hypothetical autocorrelation in the seasonally adjusted series?

  7. Reading Quality Diagnostics – Specific Problems • Meaning of Friedman’s statistics? • Absence of autoregressive spectral graph for residuals • Innovation variance of the irregular component is lower than that of seasonal? • Spectral seasonal peaks are uncertain • Kurtosis and normality are highlighted in yellow? Asymmetry? • D+ did not perform an assessment of nonlinearity – why? • How to interpret the straight line on the S-I ratio? • How to explain the zero in the test for autocorrelation? • The curve of the seasonality graph is not clearly structured • There are no graphs for spectral analysis of the residuals – why? • Ljung-Box and Box-Pierce detect seasonality in residuals • Specificities of quarterly data

  8. Publishing seasonally adjusted data • Users do not understand the meaning of seasonal adjustment – may become confused • Metadata and explanations needed • How to document the seasonal adjustment? • How to publish the results? • How to explain revisions caused by the revised model? Revision policy needed • Should we retain consistency between price and volume indices? How about direct/indirect adjustment? • What policies should be followed in publishing data?

  9. Agenda Monday, 20 February 2012 • Session 1Conclusions of seasonal adjustment case studies • Issues for discussion • Summary conclusions of the case studies • First set of case studies • Armenia, Azerbaijan, Mongolia and Ukraine • Session 2Using calendars and regressors • Impact of calendar effects • Constructing calendars and using the calendar module • Exercises • Constructing calendar regressors and refining regressors in Demetra+

  10. Agenda Tuesday, 21 February 2012 • Session 3Refining seasonal adjustment • How to select the ideal set of regressors and specifications • Examples of problematic time series • Second set of case studies • Belarus x 2, Kazakhstan and Moldova • City Tour • Exercises: • Real data examples and analysis of diagnostics

  11. Agenda Wednesday, 22 February2012 • Session 4Reading quality diagnostics • Overview of main quality diagnostics • How to read diagnostics and how to improve results? • Third set of case studies • Georgia, Kyrgyzstan, Russian Federation, Tajikistan • Session 5Publishing seasonally adjusted data • Internal documentation and user documentation • Publishing seasonally adjusted data and examples • Group work • Drafting a data release using seasonally adjusted data

  12. Agenda Thursday, 23 February2012 • Session 6Seasonal adjustment and revision policies • Results of the group work • Towards a seasonal adjustment and revision policy • Session 7Quality tips • Questions and feedback from participants • Tips – issues to consider for improvement of quality • Closing of the workshop

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