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Using Demetra+ at NSO of FI, - first results of testing

Using Demetra+ at NSO of FI, - first results of testing. Faiz Alsuhail, faiz.alsuhail@stat.fi , +358 9 1734 2921. Introduction. Statistics Finland currently uses Tramo/Seats and Demetra (v. 2.2) to run seasonal adjustment. This test is about using Tramo/Seats in J-Demetra+ (v. 1.2.0) .

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Using Demetra+ at NSO of FI, - first results of testing

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  1. Using Demetra+ at NSO of FI, - first results of testing Faiz Alsuhail, faiz.alsuhail@stat.fi, +358 9 1734 2921

  2. Introduction • Statistics Finland currently uses Tramo/Seats and Demetra (v. 2.2) to run seasonal adjustment. • This test is about using Tramo/Seats in J-Demetra+ (v. 1.2.0) . • The question is whether the results (seasonally adjusted time series, trend, trading day corrected series) are the same in both software programs. Identical model settings are used. Faiz Alsuhail/ Statistics Finland

  3. Time series studied • We study five time series: • Gross national product (GNP) • Volume index for industrial output (VIIO), total industries • Labor cost index (LCI)for all industries in private sector • Unemployment rate for 15-74 year old • Retail trade • These time series are important, draw considerable attention from the users. They are seasonally adjusted in different ways. Faiz Alsuhail/ Statistics Finland

  4. Time series studied Faiz Alsuhail/ Statistics Finland

  5. How the study was made? • For the sake of comparability we use the same seasonal adjustment settings as in Demetra. This includes: • Transformation: Logarithm/ none; • ARIMA model and mean correction; • Trading day correction, correction for national holidays, correction for Easter effect • Outliers, including type and timing; • We are interested in the quarter-to-quarter (month-to-month) growth rates of the SA series. • For the unemployment rate we are interested in the levels. Faiz Alsuhail/ Statistics Finland

  6. Are the quarter-to-quarter growth rates (SA) different? GNP. Faiz Alsuhail/ Statistics Finland

  7. Are the quarter-to-quarter growth rates (SA) different? LCI. Faiz Alsuhail/ Statistics Finland

  8. Are the month-to-month growth rates (SA) different? Volume index for industrial output. Faiz Alsuhail/ Statistics Finland

  9. Are the month-to-month growth rates (SA) different? Retail trade. Faiz Alsuhail/ Statistics Finland

  10. Differences in growth rate Faiz Alsuhail/ Statistics Finland

  11. Are the levels (T) different? Unemployment. Faiz Alsuhail/ Statistics Finland

  12. Faiz Alsuhail/ Statistics Finland

  13. Conclusion • This study suggests that if an NSI is using Tramo/Seats then: • Switching from Demetra to J-Demetra+ will cause revisions in the published figures. • The differences seem to larger for time series with many trading day regressors. • It might be good to consider: • The timing of the switch. • To which extend is it worthwhile to keep the same model settings as in Demetra. • Communicating the change to the users. Faiz Alsuhail/ Statistics Finland

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