united nations economic commission for europe statistical division seasonal adjustment process with...
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United Nations Economic Commission for EuropeStatistical DivisionUnited Nations Economic Commission for EuropeStatistical Division
Seasonal Adjustment Process with Demetra+
Anu PeltolaEconomic Statistics Section, UNECE
March 2011 UNECE Statistical Division Slide 2
Overview
Seasonal adjustment process:
Prepare and check Define and adjust Analyse and refine Document and publish
March 2011 UNECE Statistical Division Slide 3
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Prepare and check
Open Demetra+
Prepare a source file
Import data
Check the original series
March 2011 UNECE Statistical Division Slide 4
Open Demetra+
The program can be downloaded at: http://circa.europa.eu/irc/dsis/eurosam/info/data/demetra.htm
Can be used free of charge
March 2011 UNECE Statistical Division Slide 5
Prepare a source file
Many types of files are suitable Excel file either horizontal or vertical
March 2011 UNECE Statistical Division Slide 6
Import data
You can copy and paste• But you will have to do this
every time Dynamic updates possible
• Next time you do not have to import again
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March 2011 UNECE Statistical Division Slide 7
Check the original series
The quality of seasonal adjustment depends on the quality of the raw data. • accuracy, • length of time series (36/16), • quality of production methods and • consistency of time series
Demetra+ provides many visual tools, i.e. to test the presence of seasonality
March 2011 UNECE Statistical Division Slide 8
Check the original series
Is seasonality present in the original series?
March 2011 UNECE Statistical Division Slide 9
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Define and adjust
Select an approach
Prepare calendars
Select regressors
Seasonally adjust
March 2011 UNECE Statistical Division Slide 10
Select an approach
Choose to process only one time series or multiple series
Select the approach (X12 or T/S)• Working instructions for beginning
seasonal adjustment with Demetra+ written for TRAMO/SEATS
• More instructions for the use of X-12-ARIMA in the Demetra+ Manuals
March 2011 UNECE Statistical Division Slide 11
Prepare calendars
Demetra+ includes some predefined holidays, but not national holiday calendars of all countries• Collect a time series of your national holidays
Prepare the calendar by • Selecting from the pre-specified holidays• Defining exact dates • Setting a validity period
March 2011 UNECE Statistical Division Slide 12
Select regressors
= Define the specification Start the analysis with the
default specifications • choose first either four (RSA4)
or five (RSA5)
Mark your specification
RSA0 level,airline model
RSA1 log/level,outliers detection, airline model
RSA2 log/level, working days, Easter, outlier detection, airline model
RSA3 log/level, outlier detection, automatic model identification
RSA4log/level, working days, Easter, outlier detection, automatic model identification
RSA5log/level, trading days, Easter, outlier detection, automatic model identification
March 2011 UNECE Statistical Division Slide 13
Seasonally adjust
To launch adjustment • double click on the series or• select from the main menu:
Seasonal adjustment/ Single Analysis/ New
Seasonal adjustment/ Multiprocessing/ New
SAProcessing-xx/ Run
Save to the workspace
double click
March 2011 UNECE Statistical Division Slide 14
Seasonally adjust
For second adjustment of the same data, decide your update strategy
Current adjustment = fixed forecasts Concurrent adjustment = nothing fixed
March 2011 UNECE Statistical Division Slide 15
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Analyse and refine
Visual check
Models applied
Quality Diagnostics
Refine and adjust
March 2011 UNECE Statistical Division Slide 16
Visual check
Is the seasonal component lost in the irregular?
March 2011 UNECE Statistical Division Slide 17
Visual check
Check the S-I ratio for moving seasonality
March 2011 UNECE Statistical Division Slide 18
Models applied
Information about pre-processing: • the estimation time span used, • corrections for trading days and Easter,• type of applied ARIMA model, • the dates and types of outliers as well as• the distribution of residuals
Information about decomposition:• the applied decomposition model, • statistical indicators to validate the model
March 2011 UNECE Statistical Division Slide 19
Quality Diagnostics
Demetra+ offers a wide range of quality measures
Verbal description also Basic checks = annual totals Residuals, i.e. the part of data
not explained by modelling, should not include any information
March 2011 UNECE Statistical Division Slide 20
Quality Diagnostics
Is there some residual seasonality after adjustment?
March 2011 UNECE Statistical Division Slide 21
Quality Diagnostics
Are there large revisions – is the model stable?
March 2011 UNECE Statistical Division Slide 22
Quality Diagnostics
Do the residuals follow the normal distribution?
Are they random?
March 2011 UNECE Statistical Division Slide 23
Refine and adjust
Seasonal adjustment is an iterative process After the first adjustment, you can try different
specifications • For example, from RSA 5 to RSA 4
In multiprocessing, you can edit a single series by double clicking its name in the results
You can maintain the previous adjustments for comparison
March 2011 UNECE Statistical Division Slide 24
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Document and publish
Document choices
Export data
Prepare publication
Support users
March 2011 UNECE Statistical Division Slide 25
Document choices
Document the first page of Main results, Pre-processing, Decomposition and Diagnostics
Archive the resulting time series for later revision analysis
Prepare metadata to be published to the users of statistics• ESS metadata template• OECD Data and Metadata Reporting and
Presentation Handbook
March 2011 UNECE Statistical Division Slide 26
Export data
You can export to several kinds of outputs • Main menu: SAProcessing-xx/Generate output• Copy: TramoSeatsDoc-x/Copy/Results
March 2011 UNECE Statistical Division Slide 27
Prepare publication
Redesign the content of data releases when you start with seasonally adjusted data
Consider how to explain revisions, and plan in advance how to revise these data
The press releases should be simple• Offer some more details on the web site, e.g.
regional or industry level data
March 2011 UNECE Statistical Division Slide 28
Support users
Seasonal adjustment aims at better service for the users of statistics
Define a clear framework / policy • choice of method and software• timing of reanalysis of parameters and models • treatment of outliers • practices with revision and dissemination
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