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Introduction to Ecotrim and DEMETRA

Objectives. Inform the production units about the Eurostat IT tools available for Temporal Disaggregation and Seasonal Adjustment Identify audience for a possible internal courses (including demo session) at ESTAT on the subject No methodological issues will be addressedNo software demo, only screenshots.

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Introduction to Ecotrim and DEMETRA

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    1. Introduction to Ecotrim and DEMETRA+

    2. Objectives Inform the production units about the Eurostat IT tools available for Temporal Disaggregation and Seasonal Adjustment Identify audience for a possible internal courses (including demo session) at ESTAT on the subject No methodological issues will be addressed No software demo, only screenshots

    3. Contents Summary information on ECOTRIM (30 mins) Summary information on DEMETRA+ with briefing on the ESS guidelines on Seasonal Adjustment (30 mins) User support provided by Unit B2 Methodology and Research (10 mins) Q & A (20 mins)

    4. Why Ecotrim and DEMETRA+ together? Target users are the same

    6. Topics Ecotrim in the framework of data production Techniques available in Ecotrim

    7. Forewords Ecotrim is a program written for Windows and has been developed by Eurostat There is a project within Eurostat (UNIT C2) for the development/maintenance of the program The main aim of this presentation is to demonstrate the potential of the application User manual is available in EN and FR http://circa.europa.eu/Public/irc/dsis/ecotrim/library

    8. Why Eurostat developed Ecotrim? ESA 95 paragraph 12.04 “The statistical methods used for compiling quarterly accounts ……..can be classified in two major categories: direct procedure and indirect procedure” ... indirect procedures are based on Temporal Disaggregation of the annual accounts data in accordance with mathematical and statistical methods using reference indicators that permit the extrapolation for the current year

    9. Definitions Temporal Disaggregation Process of deriving high frequency data from low frequency data and, if available, related high frequency information ECOTRIM Supplies a set of mathematical and statistical techniques to carry out Temporal Disaggregation

    10. Temporal Disaggregation techniques are useful in compiling short-term statistics: Quarterly National Accounts (QNA) Give a quarterly breakdown of the figures in the annual accounts Flash estimates Use the available information in the best possible way including, in the framework of a statistical model, the short-term available information and the low frequency data in a coherent way Monthly indicators of GDP The monthly estimates are derived from the available information respecting the coherence with quarterly data

    11. Other short-term statistics Short-term industrial statistics Employment Money and banking statistics

    12. Techniques available in Ecotrim

    13. Basic principles Distribution When annual data are either sums or averages of quarterly data (e.g., GDP, consumption, indexes and in general all flow variables and all average stock variables) Interpolation When annual value equals by definition that of the fourth (or first) quarter (e.g., population at the end of the year, money stock, and all stock variables) Extrapolation When estimates of quarterly data are made when the relevant annual data are not yet available

    14. Techniques available in Ecotrim Temporal Disaggregation of univariate time series by using or not related series and fulfilling temporal aggregation constraints Mathematical approach and the optimal, in the least squares sense, approach Temporal Disaggregation of multivariate time series with respect of both temporal and contemporaneous aggregation constraints Flash estimates of current year observations by using or not available information on related series

    15. Temporal and Accounting constraint Statistical offices are often faced with the estimation of a set of quarterly series linked by some accounting relationship Temporal Disaggregation methods can also be used in such cases, to give a solution consistent with both temporal and accounting aggregation constraints

    16. Estimates have to be consistent and coherent Temporal consistency Quarterly values have to match annual values (for example the sum of quarterly values of the GDP must be equal to the annual value) Accounting coherence Quarterly components of an account should respect the accounting constraints (for example, the sum of quarterly values of the GDP expenditure side components should be equal to the corresponding quarterly value of GDP)

    17. Temporal Disaggregation methods Univariate Approach Smoothing methods Two steps adjustment methods Time series methods Regression based methods Static models Dynamic models Multivariate Approach Two steps adjustment methods      Regression based methods

    18. The classical univariate Temporal Disaggregation Given the annual observations for an account aggregate and the quarterly values for a related series, the unknown quarterly/monthly values of the aggregate are estimated Chow and Lin (1971) worked out a least-squares optimal solution on the basis that a linear regression model involving the quarterly aggregate series and the related quarterly series will hold

    19. Statistics Rhô R-squared ( next to 1) Durbin-Watson ( about 2 ) Probability of F T-stat Reliability indicators (lower value for the range between Min and Max)

    20. Reminders It must be reminded that the statistics obtained within Ecotrim outputs are based on the annual data It is advisable to use a unique model all along the series Structural breaks must be taken in consideration It is advisable to have observations covering at least 20 years when disaggregating annual data It is advisable to have observations covering at least 15 years when disaggregating quarterly data

    21. ECOTRIM ECOTRIM is a program that supplies a set of mathematical and statistical techniques to carry out Temporal Disaggregation Structured for Windows 95/98 and Windows NT Visual Basic and C++ User friendly It can be used according to two different modes: Interactive mode Batch mode

    22. Interactive mode

    23. Batch mode ECOTRIM performs Temporal Disaggregation of several jobs starting from a batch command file Batch mode is very useful when handling many series

    24. Work with ECOTRIM

    25. Work with ECOTRIM

    26. Work with ECOTRIM

    27. Work with ECOTRIM

    28. Work with ECOTRIM

    29. Work with ECOTRIM

    30. Future of Ecotrim Updating the Visual Basic/C++ version and refurbish the interface of ECOTRIM with the purpose to match production and users’ requirements Design of the application as a Building Block, CVD compliant Make system Windows 7 compatible, compilation as a 64-bit application (former was 16-bit) Inclusion of more recent methods like: Univariate Regression based Temporal Disaggregation Reconciliation by Two-Step procedures (Quenneville & Rancourt 2005 – Di Fonzo & Marini 2009)

    31. DEMETRA+

    32. What is DEMETRA+?

    34. Why DEMETRA+?

    36. How to work with DEMETRA+

    41. How to work with DEMETRA+

    42. How to work with DEMETRA+

    43. How to work with DEMETRA+

    50. ESS Guidelines on SA

    55. EUROSTAT UNIT B2

    56. Questions?

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