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Ronald van der Stegen

Reducing statistical discrepancy between direct and indirect GDP. Ronald van der Stegen. Introduction: direct and indirect. Direct seasonal adjustment of GDP: seasonal adjustment of GDP Indirect seasonal adjustment of GDP: sum of seasonally adjusted components of GDP 2013 first quarter:

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Ronald van der Stegen

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  1. Reducing statistical discrepancy between direct and indirect GDP Ronald van der Stegen

  2. Introduction: direct and indirect • Direct seasonal adjustment of GDP: • seasonal adjustment of GDP • Indirect seasonal adjustment of GDP: • sum of seasonally adjusted components of GDP • 2013 first quarter: • Indirect GDP q-to-q growth -0.4% • Direct GDP q-to-q growth +0.1%

  3. Direct and indirect GDP

  4. Introduction: GDP

  5. Project: • Minimize: (SD(t)-SD(t-1))/GDP(t-1) Achievedby: • Idea 1: Optimize X12-Arima • Idea 2: Multivariate pretreatment • Idea 3: Rebasingwith multivariate Denton Tested on data of 2013

  6. Quality of seasonally adjusted results • Standard quality measures of X12-Arima • Fluctuations in the statistical discrepancies • Revisions of published results

  7. Idea 1: improve settings of X12Arima • Numerous settings tried: • Series are very volatile 2008 - today • Small reduction in fluctuation of SD possible by harmonizing X12Arima setups • Important sources for discrepancy are: • Outliers • Regression effects • Extrapolation

  8. Idea 2: multivariate pretreatment • Based on a structural time series model (STM) • Consistency constraints over • Additive outliers • Level shifts • Time dependent regressors • Near future: time dependent seasonal factors • STM removes above effects • Seasonal components of STM too volatile to use for seasonal adjustment therefore seasonal adjustment by X11

  9. Idea 3: rebasing • First idea 2 than Multivariate Denton technique • All series are balanced to same order of magnitude • Equal weights for the series

  10. Results: Quality measures X12Arima • GDP: acceptable reduction in quality

  11. Results: Statistical discrepancy • Significant reduction

  12. Results: Revisions • Similar revisions of the GDP

  13. Conclusions • More uniformity in seasonal adjustment results in less statistical discrepancy without significant reduction of the quality of the results • Increased uniformity is established with multivariate pretreatment

  14. Contact: Ronald van der Stegen (rsen@cbs.nl)

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