Transcript UNECE Workshop on Short-Term Statistics (STS) and Seasonal Adjustment 14 – 17 March 2011, Astana, Kazakhstan How to Release Seasonally Adjusted Data ? (Examples of.

UNECE Workshop on Short-Term Statistics (STS)
and Seasonal Adjustment
14 – 17 March 2011, Astana, Kazakhstan
How to Release Seasonally
Adjusted Data ?
(Examples of release practices, metadata, maintenance)
Carsten Boldsen Hansen
Economic Statistics Section, UNECE
Overview
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Quality of SA
Revision policy
Release practices
Metadata
How to get started?
March 2011
UNECE Statistical Division
Slide 2
Quality of SA
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Release SA data after you are convinced
about the quality
Explain possible quality issues to users
•
Quality of original data, length of time-series
• Presence of strange features, outliers and
volatility
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Use more time with key indicators
Release documentation of all relevant
seasonal adjustment steps
March 2011
UNECE Statistical Division
Slide 3
Timing of Revisions
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SA data usually revised due to
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•
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Revisions are welcomed
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Corrections and accumulation of raw data
Better estimates for the seasonal pattern
They derive from improved information set
Forecasts are replaced with new observations in SA
In SA one new observation can revise the past
Trade off between precision in SA data and
stability of seasonal adjustment pattern
Revision should be scheduled in a regular way
March 2011
UNECE Statistical Division
Slide 4
Nature of SA Revisions
Industrial Production Index, Original Series
Release 10/2008
Release 12/2008
Release 11/2008
Release 9/2008
Source: Statistics Finland
March 2011
UNECE Statistical Division
Slide 5
Nature of SA Revisions
Industrial Production Index, Seasonally Adjusted
Release 10/2008
Release 9/2008
Release 11/2008
Release 12/2008
Source: Statistics Finland
March 2011
UNECE Statistical Division
Slide 6
Features of the Trend Series
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End of the trend series may change direction
Problems with defining trends
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How smooth should it be vs. identification of turning
points?
Should it include economic ‘cycles’ or just long-term
structural effects?
Trend can have different annual totals from the
original data
Trend is a good visual tool
March 2011
UNECE Statistical Division
Slide 7
End-point Problem
Turnover in Advertising
130.0
120.0
110.0
100.0
90.0
80.0
70.0
60.0
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
50.0
Published 05/2008
Published 05/2008
Published 03/2009
March 2011
UNECE Statistical Division
Slide 8
Releasing Time Series
A. Publish raw and some adjusted data,
e.g. one of the following:
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SA series, SA plus WDA series, Trend-cycle series
B. Include only raw data in press releases
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Too limited approach!
C. Present only levels or values
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March 2011
Too limited approach!
UNECE Statistical Division
Slide 9
Recommended Release Practices
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Publish rather index numbers than monetary values
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or both
Month-on-month and change from the same month
one year earlier are both useful
A reference period needs to be determined
Provide long an coherent time series
Present the main contributors to change
•
Present products / enterprise groups / industries that are
primarily responsible for the monthly movement
Source: Index of Industrial Production (UN)
March 2011
UNECE Statistical Division
Slide 10
Revision Policy
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Revisions are inevitable to the quality of data
Be informative about the reasons for revisions
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Methodological, accumulation, errors, changes to classifications
Users should be reminded of the size of the likely revisions
Correct errors as soon as possible
Revision policy be formulated: regular timing
Revisions to be carried back in time to maintain
consistent time series
Normal revisions: no explicit info & monthly release
Prior information of large scale revisions
Source: Common Revision Policy for STS (EC) & Index of industrial production (UN)
March 2011
UNECE Statistical Division
Slide 11
Advance Release Calendars
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Use of advance release calendars is
recommended widely
Reduces the chances of external interference
with the release of statistics
IMF requires the countries that subscribe to
the SDDS (but not GDDS) to provide advance
release information
Statistics to be released as soon as the data
becomes available and has been processed
March 2011
UNECE Statistical Division
Slide 12
Proposed Release Practice
1. Include both raw and SA data in the release,
details on the web site
•
Time series (raw, SA, WDA, trend)
2. Avoid annualized or cumulative growth rates as the
only indicator
3. Avoid presentation of trend data in press releases
•
Trend series are good in graphs!
4. Release several growth rates
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“Period on period” growth to be computed on SA data!
Annual growth to be computed on non-adjusted data
March 2011
UNECE Statistical Division
Slide 13
Effect of Moving Holidays
Output of the national economy grew in April
Seasonally adjusted output rose by 1.2 per cent in April from the month before.
Year-on-year the increase amounted to 8.1 per cent according to the original series.
April 2008 included three working days more than the comparison month of the previous year.
Adjusted for working days, the year-on-year growth was 5.1 per cent.
9
8.1
8
7
6
5.1
5
4
3
2
1.2
1
0
Seasonally adjusted,
from March 2008
March 2011
Original data,
from April 2007
Working day adjusted,
from April 2007
UNECE Statistical Division
Slide 14
Comparison of Countries
Change from Previous Period
Source: OECD statistical news release
March 2011
UNECE Statistical Division
Slide 15
Detecting Turning Points
Change from the Previous Period
Seasonally adjusted industrial production
growth rates from the previous quarter
% from previous quarter
4%
2%
0%
-2%
-4%
-6%
-8%
-10%
CIS countries ¹ ²
EU27 countries
Q2
2010 Q1
Q4
Q3
Q2
2009 Q1
Q4
Q3
Q2
2008 Q1
Q4
Q3
Q2
2007 Q1
Q4
Q3
Q2
2006 Q1
Q4
Q3
Q2
2005 Q1
-12%
North America ²
Source: UNECE weekly
March 2011
UNECE Statistical Division
Slide 16
Smoothening of Development
What is the direction of development?
50%
50%
50%
40%
40%
40%
30%
30%
30%
20%
20%
20%
10%
10%
10%
0%
0%
0%
-30%
-30%
month-on-month
2009
2009
-30%
2008
2008
-20%
-20%
2007
2007
-20%
2006
2006
-10%
-10%
2005
2005
-10%
month-on-month
3 months' moving average
Source: NSO of Tajikistan
March 2011
UNECE Statistical Division
Slide 17
Source:ONS
March 2011
UNECE Statistical Division
Slide 18
Metadata for Different Users
1. Non-technical explanation of SA
2. Enough metadata for assessment of reliability
3. Metadata to enable repetition of SA:
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Method and software used
Decision rules, aggregation policy
Outlier detection and correction methods
Revision policy
Description of working day adjustment
Contact information
A metadata template is annexed to ESS
guidelines on seasonal adjustment!
Source: OECD data and metadata reporting and presentation handbook
March 2011
UNECE Statistical Division
Slide 19
Suggestions for Starting with SA
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Assess your and users’ needs
Define a clear SA policy, covering:
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Allocate sufficient resources and time
Train staff
Inform users:
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Method, software, reanalysis, outliers, revision etc.
Choose simple and reliable method and software
about major events affecting seasonal adjustment
easy access to all relevant metadata
Do not publish until confident with the results
March 2011
UNECE Statistical Division
Slide 20