Testing seasonal adjustment with Demetra+

Testing seasonal adjustment with Demetra+

Dushanbe, Tajikistan - 2011

STATISTICAL AGENCY UNDER PRESIDENT OF THE STATISTICAL AGENCY UNDER PRESIDENT OF THE REPUBLIC OF TAJIKISTANREPUBLIC OF TAJIKISTAN

Kosimov Kh. M.


Check the originaltime series

Conclusions about the quality of source data– Quality adjustment for seasonal variation depends on the quality of

data;– The input price index was used agricultural production;– Data analysis determined that there is seasonality and availability

of seasonal interruptions;– duration of the time series consists of 4 years (48 cases).


Some graphs to show the presence of seasonality

A seasonal factor was observed in the original series.

Selection of approach and regressors


•The approach used was TRAMO / SEATS;

• Selected certain holidays and national holidays;

• Chosen specification (RSA4).

The applied model


• Working days correction was applied, holidays, the presence of seasonality and seasonal break were tested

•Current adjustment means that the model, filters, outliers and calendar regression variables are re-identified and the respective parameters and factors re-estimated at review periods that have been set in advance.

Graphs of the results


According to data given in the graph, the peak (highest value) of the irregular component observed in June, the lowest value in January.

The index of agricultural production by month2007 – 2010, seasonally adjusted


Checking for sliding seasonal factors


The above analysis shows that the seasonal factor changes sharply in June due to increased agricultural production.

Main quality diagnostics


The main results of the quality diagnostics Summary results: Good Basic checks: definition, good (0.000) Annual totals: Uncertain (0.021)Visual spectral analysis: spectral peaks of the sea: Good spectral peaks td: GoodRegarima residuals: normal, good (0.136),Good independence (.137),Spectral peaks td Good (.284), spectral Sea reaches a maximum Doubtful (0.019)

Main quality diagnostics


Residual seasonality: - sa: Good (1000) - sa (last 3 years): Good (.986) - irregular: Good (1000)

Outliers: - number of outliers, good (0.000)

Seats: - seas variance: Good (0.157) - Irregular distinction, Good (0.240) - Seasonal cross-correlation: Good (0.228)

Residual seasonality


There is no residual seasonality after adjustment

• Should we retain dependence between the values at current prices, indices of price and volume, and how?

• How to adjust the data prior to the adjustment for seasonal variations to account for the effects of irregular?

• What policies should be followed in regard to the publication of seasonally adjusted data?


Questions about the program:

• Provide users with seasonally adjusted data or estimates of the trend-cyclical component is controversial. It is recommended to publish both measures, preferably in conjunction with the general diagram describing the dynamics of the two series over time.

• Due to the fact that since January 2011, the Agency maintains statistical records on the basis of classifications of economic activities will need to recalculate time series, according to the ОКЭД classification, after the new time-series we will analyse the statistics with the seasonal adjustment program Demetra +, then we can consider publishing the data and placing it on the website.


Evaluate the ability to publish results

• Study the experience and obtain skills from other countries on the use of seasonal adjustment in the statistical analysis;

• Need to do more practical work;

• Need to introduce the knowledge and experience in the statistical system of Tajikistan.


Questions

• Should the final figures be calculated as the sum of the adjusted components, or they must be corrected immediately, even if the result may not correspond to the amount of adjusted components?

• In other words, should the final figures be calculated by indirect or direct adjustment?

• Can the program Demetra + adjust several types of production activity?


Questions to be addressed at the 2. seminar

Plans for the future

- Recalculation of time series based on the NACE classification, and the introduction of seasonal adjustments;

- Training for central office and regional statistical offices;- To exchange experience with other CIS countries;- Improvement of the methodology by using the seasonal

adjustment program Demetra +


Address: Dushanbe, 734025, street Bokhtar 17

The Republic of Tajikistan

Tel: (992 372) 27-81-14

Fax: (992 372) 21-43-75

E-mail: [email protected]

Internet: http://www.stat.tj


http://www.stat.tj/

Testing seasonal adjustment with Demetra+

Documents

Transcript of Testing seasonal adjustment with Demetra+