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Seasonal Adjustment in Short-Term Statistics: Overview and Process

This overview discusses the process of seasonal adjustment in the Short-Term Statistics Department, focusing on the series that are seasonally adjusted, the methods and tools used, and the stages involved in the annual and monthly campaigns.

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Seasonal Adjustment in Short-Term Statistics: Overview and Process

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  1. An Overview of seasonal adjustment in the short term statistic department

  2. Which Series are seasonally adjusted ? • IPI : 91 series, NACE3 Level • Turnover Indexes : 440 series, NACE (3-digit) in industry and NACE (5-digit) in other sectors. • All are monthly series.

  3. The seasonal adjustment process • According to Eurostat in ESS Guidelines on seasonal adjustment, we implement two processes : • Each year a complete review of the models • Each month a re-estimation of the parameters of the models defined by the annual process. Outliers are re-identified on the last period. => Partial concurrent adjustment

  4. The seasonal adjustment process • Indirect seasonal adjustment : • Seasonally and calendar adjusted series of the aggregates are computed as a weighted sum of their constitutive series.

  5. Methods and tools • Since January we use X12-ARIMA in Demetra+. • We developped a set of SAS macros to do some steps of the annual and monthly campaigns.

  6. The annual seasonal adjustment process • The annual process is done in 8 stages : • Specification of the number of Trading days regressors. Different sets of regressors are considered depending on the sector of activity (retail trade, industry or services). • Several versions of workspaces are computed (Automatic, old models, …). Quality reports are computed. • Comparaisons are made between the different versions (graphs and quality reports) to select the best model for each series. • Interactive changes are made in the specifications of problematic series in order to improve quality. • Final quality report • Final graphical comparison. • Global notation of the treatment. • Search for better specifications for series which cause a decline in quality of aggregates.

  7. Annual process Demetra + shows poor diagnostics Interactive search of new specifications. (first check of quality and revisions in Demetra+) Computing of workspaces (automatic, old etc.) Comparisons of quality reports and graphs. => Selection of the best models. Specification of number of regressors Unsatisfying quality report Global notation (old and new) Graphical comparison New/current Quality report

  8. Monthly campaigns • Change is made in the linked file of the main workspace • Seasonal adjustment in Demetra+ is launched from SAS. • Quality control of seasonal adjustments is done in Demetra+. • Change of some specifications if needed. • Export of the results • Saving of the workspace, the linked data file and the specifications in a safe place.

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