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Compilation of ITGS indices: New method implemented in Denmark

Compilation of ITGS indices: New method implemented in Denmark. Anette Hertz, Head of section, Statistics Denmark (ahz@dst.dk). Agenda. Why interested in a new method Looking for ways to improve the indices A description of the new index compilation system The old vs the new index

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Compilation of ITGS indices: New method implemented in Denmark

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  1. Compilation of ITGS indices: New method implemented in Denmark Anette Hertz, Head of section, Statistics Denmark (ahz@dst.dk)

  2. Agenda • Why interested in a new method • Looking for ways to improve the indices • A description of the new index compilation system • The old vs the new index • What is next?

  3. Whyinterested in a new method • Lack of documentation of the old system • The system has had a sort of black box character • The accuracy of the index have been questioned by our users

  4. Looking for ways to improve the indices • We wish to reduce volatility and “know” our compilation system • Index calculation on more homogenous groups will reduce volatility • Inspired by our Finnish collegues we decided to use company level data • That is we do outlier detection at PSI level as well as the index computations

  5. Exemptions from the indices • All records with a value=1 • CN codes in chapter 98 and 99 • Industrial plants, vessels and aircrafts • CN codes with supplementary units: • Kg 90% sdt, kg/net eda, kg P2O5, kg NAOH, kg KOH, kg N, kg K2O, kg H2O2, GBq, gi F/S, ce/el, kg met.am., kg C5H1

  6. Outlierdetection • We calculatehowsuspiciouseachrecord is, just as in ourregularerrordetection, exceptwe do it at the unit valuelevelonly • With country and without country

  7. Chainedfisherindex • Just as in the old system wecalculate a chainedfisherindex • The base index is foundusingthisformula • , where • and • . is unit value and is quantity.

  8. From base index to total index and chaining • The total index for a given leveli (eg. CN8, SITC or total) is given by • Where and is the goods in groupi’s share of the total value the previousyear • Chainingthen is performed by

  9. Handling volatile indices • We plan to flag certain observations that must befurtherinvestigated. Wecantemporarilyexcludeeither: • PSI • PSI, CN8 • PSI, Country • PSI, CN8, Country • Decomposition: ) • Where is the weight of the underlyingindex, is the overlyingindex the respectiveperiod relative to the overlyingindex in the baseyear (2005=100). • is the underlyingindex relative to the underlyingindex for the baseyear • is the underlyingindex, for the previousperiod, relative to the underlying index for the baseyear

  10. The old vs the new index • The old index series started in 1995, the new will start in 2005 • Indices at flow*CN*PSI*country instead of flow*CN*country • A separate outlier detection at micro data level • Published total indices as well as 1- and 2-digit SITC, also 3-digit SITC for certain groups as opposed to BEC and KONJ • We can exclude observations from the indices until they have been verified

  11. What is next? • Calculation of terms of trade • Integrate the validation of extremeoutliers in the clericalworkersdailytasks • New system hopefully in production from November 2014

  12. Thank you for your attention Questions?

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