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Enhancing Seasonal Adjustment Methods for Economic Indicators in National Accounts

Explore the institutionalization of seasonally-adjusted production sectors of GDP in the Philippines, comparing X11 ARIMA, X12 ARIMA, and TRAMO-SEATS methods for accuracy. Recommendations highlight the use of X12 ARIMA.

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Enhancing Seasonal Adjustment Methods for Economic Indicators in National Accounts

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  1. Towards the Institutionalization of Seasonally-AdjustedProduction sectors of the Gross Domestic Product by Stephanie Rose R. Moscos and John Lourenze S. Poquiz Macroeconomic Accounts Service Philippine Statistics Authority

  2. Outline of the Presentation • Introduction and Motivation for the Study • Country Practices in the Seasonal Adjustment of the National Accounts • Seasonal Adjustment of Production Sectors • Conclusions and Recommendation

  3. Introduction and Motivation for the Study • Seasonality is common in economic time series. Industry output tends to be heavily influenced by recurring events within the year. • While year-on-year growth rates mask the underlying seasonality, data users might be interested in keeping track of the movement of a particular indicator on a quarter-on-quarter (or month-on-month) basis.

  4. Introduction and Motivation for the Study • PSA releases Seasonally-Adjusted National Accounts • GDP • GNI • Major Industries (AHFF, Industry, Services) • Household Final Consumption Expenditure • Method used in the seasonal adjustment is X11 ARIMA • Albert (2002) suggests to explore the use of X12 RegArima and TRAMO-SEATS for seasonal adjustment of official statistics • Bersales (2007) recommended the use of ARCH-GARCH for irregular seasonality

  5. Country Practices in the Seasonal Adjustment of the National Accounts

  6. Seasonal Adjustment of Production Sectors • No Seasonal Adjustment for specific industries like Mining and Quarrying, Manufacturing, Financial Intermediation, etc. • Empirical comparison of three procedures: • X11 ARIMA • X12 ARIMA • TRAMO-SEATS • Structural breaks • Component vs Aggregates

  7. Table 1: Comparison of Mean Absolute Percent Difference of X11 ARIMA, X12 ARIMA, and TRAMO SEATS

  8. Table 2: Comparison of Mean Absolute Percent Difference of the Seasonally Adjusted Aggregates and the Sum of their Components

  9. Conclusions and Recommendation • Small differences between X11 ARIMA, X12 ARIMA, and TRAMO SEATS with the exception of Agriculture • Small differences between seasonal adjustment of the aggregate and summation of the components, with the exception of AHFF • This study recommends the use of X12 ARIMA in seasonal adjustment as levels tends to be irregularly higher for Agriculture when using TRAMO SEATS • More research should be done in the topic of seasonal adjustment of the National Accounts, particularly on • Revisions as a result of concurrent seasonal adjustment • Seasonal adjustment of Expenditure Sectors

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