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Background

Task Force on Seasonal Adjustment of Quarterly National Accounts Second meeting Item 7 Calendar adjustment: Issues note Martin Eiglsperger Frankfurt, 23-24 April 2007. 2. Background.

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  1. Task Force on Seasonal Adjustment of Quarterly National AccountsSecond meetingItem 7 Calendar adjustment: Issues noteMartin EiglspergerFrankfurt, 23-24 April 2007

  2. 2 Background • Mandate: “Review and specify further the practices for working-day adjustment and the treatment of irregular factors …” • Provision of only calendar adjusted series for GDP and Value Added • Main topic of the next Task Force meeting

  3. 3 Calendar effects (1) Definition and role • Some calendar effects impact year by year in the same period to a similar extent → by definition: part of the seasonal component • Non-seasonal calendar effects:typically due to the varying number of working or trading days, due to moving holidays (e.g. Easter) and due to leap years • Many country-specific issues, e.g. calendar constellations in other countries might have an impact, e.g., on tourism or on retail trade

  4. 4 Calendar effects (2) Calendar adjustment • CMFB recommendation: Regression analysis • Regressors: • number of working or trading days, possiblydistinguishing between certain days in the week • dummies identifying periods affected by moving holiday, leap years etc. • Modification of working-day regressors?→ e.g. deviation of the no. of working days from their long-term average or no. of Mondays + Tuesdays + … + Fridays – 5/2 (no. of Saturdays + Sundays) …

  5. 5 Calendar effects (3) Calendar adjustment (continued) • Calculation of the no. of working or trading days requires detailed knowledge about country-specific public holidays and compensation practices, if public holidays fall on weekend days (relevant, e.g., in BE, IE, ES and the UK) • Check reliability and meaningfulness of results: • Significance and sign of the coefficient estimates? • Seasonal pattern in calendar factors? • Coefficient estimates: robust, time-depend?

  6. 6 Irregular effects • One-off outliers, temporary effects and level shifts should remain visible in the seasonal adjusted series, since they are not part of the seasonal component • However, there are effects which already have appeared in the past, e.g. due to cold winters or certain bridge day constellations • Shall a series be adjusted for such effects? • Can such effects be estimated reliably?

  7. 7 Outline of future work • Discuss and agree on definitions • Stock-taking of calendar regressors used • Monthly vs. quarterly regression analysis • References for further elaboration of recommendations: existing recommendations and draft of Eurostat seasonal adjustment guidelines • Practical advise on calendar adjustment with X-12, TRAMO/SEATS and DEMETRA • Discuss implementation of the provision of purely calendar-adjusted QNA series

  8. 8 Proposed way forward • Set up small expert / drafting group • Prepare review and proposals for July Task Force meeting

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