United Nations Economic Commission for Europe
Statistical Division
Seasonal Adjustment
Process with Demetra+
Anu Peltola
Economic Statistics Section, UNECE
Overview
Seasonal adjustment process:




Prepare and check
Define and adjust
Analyse and refine
Document and publish
March 2011
UNECE Statistical Division
Slide 2
Prepare and check
Check the original series
200
180
Prepare a source file
160
140
120
100
Open Demetra+
80
60
March 2011
Import data
UNECE Statistical Division
Slide 3
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 4
Prepare a source file
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
Many types of files are suitable
Excel file either horizontal or vertical
March 2011
UNECE Statistical Division
Slide 5
Import data

You can copy and paste
•

But you will have to do this
every time
1
2
Dynamic updates possible
•
Next time you do not have to
import again
March 2011
UNECE Statistical Division
Slide 6
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 7
Check the original series
Is seasonality present in the original series?
March 2011
UNECE Statistical Division
Slide 8
Define and adjust
Seasonally adjust
200
180
160
Prepare calendars
140
120
100
Select an approach
80
60
March 2011
Select regressors
UNECE Statistical Division
Slide 9
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-12ARIMA in the Demetra+ Manuals
March 2011
UNECE Statistical Division
Slide 10
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 11
Select regressors
= Define the specification
 Start the analysis with the
default specifications
•
Mark your specification
choose first either four (RSA4)
or five (RSA5)
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
RSA4
log/level, working days, Easter, outlier detection, automatic model
identification
RSA5
log/level, trading days, Easter, outlier detection, automatic model identification
March 2011
UNECE Statistical Division
Slide 12
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
double click
SAProcessing-xx/ Run

Save to the workspace
March 2011
UNECE Statistical Division
Slide 13
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 14
Analyse and refine
Refine and adjust
200
180
Models applied
160
140
120
100
Visual check
80
60
March 2011
Quality Diagnostics
UNECE Statistical Division
Slide 15
Visual check
Is the seasonal component lost in the irregular?
March 2011
UNECE Statistical Division
Slide 16
Visual check
Check the S-I ratio for moving seasonality
March 2011
UNECE Statistical Division
Slide 17
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 18
Quality Diagnostics



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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 19
Quality Diagnostics
Is there some residual seasonality after adjustment?
March 2011
UNECE Statistical Division
Slide 20
Quality Diagnostics
Are there large revisions – is the model stable?
March 2011
UNECE Statistical Division
Slide 21
Quality Diagnostics
Do the residuals follow the normal distribution?
Are they random?
March 2011
UNECE Statistical Division
Slide 22
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 23
Document and publish
Support users
200
180
Export data
160
140
120
100
Document choices
80
60
March 2011
Prepare publication
UNECE Statistical Division
Slide 24
Document choices



Document the first page of Main results, Preprocessing, 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 25
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 26
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 27
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
March 2011
UNECE Statistical Division
Slide 28