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Backcasting Time Series During 2008 SNA / ANZSIC 06 Implementation

Backcasting Time Series During 2008 SNA / ANZSIC 06 Implementation. Michael Davies, Division Head, Macroeconomic Statistics Division, Australian Bureau of Statistics September 2014. 2008 SNA / ANZSIC 06 backcasting.

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Backcasting Time Series During 2008 SNA / ANZSIC 06 Implementation

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  1. Backcasting Time SeriesDuring 2008 SNA / ANZSIC 06 Implementation Michael Davies, Division Head, Macroeconomic Statistics Division, Australian Bureau of Statistics September 2014

  2. 2008 SNA / ANZSIC 06 backcasting • Implementation of 2008 SNA and ANZSIC 06 – a fundamental reworking of the Australian National Accounts • Annual benchmark series backcast from 1994-95 to 2007-08 • Annual series backcast from 1959-60 to 1993-94 • Quarterly series backcast from September quarter 1959 to June quarter 2009

  3. Challenges (1) • The new industry classification system is fundamentally different to the previous industry classifications • Starting periods for national accounts series across individual components and underlying data sources vary significantly • Historical series are divided into two periods: • ‘Live’ compilation period – in which time series can be recalculated in response to changes in standards & classifications; • Maintained compilation period – in which no detailed data available making impossible to ensure changes in standards & classifications are represented

  4. Challenges (2) • Most input data series were not available for the full time period (only capital expenditure data went back to 1959-60) • There was often little information available for constructing historic estimates for new series such as R&D • There were significant breaks and inconsistencies between historical series and new series

  5. Backcasting & Splicing Principles • Backcasting involves removing breaks in series between ‘live’ and ‘maintained’ periods in national accounts • Converting growth levels of historical series into those comparable with that for new estimates while keeping growth rates of the former intact • The following splicing principles were adopted • Undertaking splicing at lowest feasible level • The results should be economically plausible • No unusual seasonal variation at the splicing point • Pragmatic approach for extrapolating time series in ‘maintained’ periods in case of no historical data

  6. Bridging • Bridging involves converting historical data in old industry classifications into series in new industry classifications • This is done using known relationships between series in a common period (“bridging factors”) to extrapolate time series in new industry standards in ‘maintained’ periods • Bridging factors are calculated over several time periods to remove influence of short-term volatility

  7. Managing the backcasting process • Closely managing the incorporation of backcast data into the national accounts • Using common techniques as far as possible to help ensure the coherence of the results • Maintaining flexibility and finding the right balance between backcasting approaches • Ensuring that the results were plausible and that economic history, particularly quarterly growth rates, did not change unless affected by 2008 SNA implementation (e.g. capitalisation of R&D)

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