Ronald van der Stegen Reducing statistical discrepancy between direct and indirect GDP.

Ronald van der Stegen

Reducing statistical discrepancy between direct and indirect GDP

Introduction: direct and indirect

– Direct seasonal adjustment of GDP: • seasonal adjustment of GDP

– Indirect seasonal adjustment of GDP:• sum of seasonally adjusted components of GDP

– 2013 first quarter:• Indirect GDP q-to-q growth -0.4%• Direct GDP q-to-q growth +0.1%

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Direct and indirect GDP

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Introduction: GDP

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Before SA

AfterSA

Gross Domestic product (GDP) S≠0 S’≈0

+Import S≠0 S’≈0

-Export S≠0 S’≈0

-Consumption of households S≠0 S’≈0

-Consumption of government S≠0 S’≈0

-Gross fixed capital formation S≠0 S’≈0

-Changes in stocks S≠0 S’≈0

=Statistical discrepancy (SD) from index formula (≠0: constant prices)

S≠0 S’>S

Project:

– Minimize: (SD(t)-SD(t-1))/GDP(t-1)

Achieved by:- Idea 1: Optimize X12-Arima- Idea 2: Multivariate pretreatment- Idea 3: Rebasing with multivariate Denton

Tested on data of 2013

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Quality of seasonally adjusted results

1. Standard quality measures of X12-Arima

2. Fluctuations in the statistical discrepancies

3. Revisions of published results

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Idea 1: improve settings of X12Arima

– Numerous settings tried:‐ Series are very volatile 2008 - today‐ Small reduction in fluctuation of SD possible by

harmonizing X12Arima setups

– Important sources for discrepancy are: ‐ Outliers‐ Regression effects‐ Extrapolation

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Idea 2: multivariate pretreatment

– Based on a structural time series model (STM)– Consistency constraints over

‐ Additive outliers‐ Level shifts‐ Time dependent regressors‐ Near future: time dependent seasonal factors

– STM removes above effects– Seasonal components of STM too volatile to use for seasonal

adjustment therefore seasonal adjustment by X11

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Idea 3: rebasing

– First idea 2 than Multivariate Denton technique

– All series are balanced to same order of magnitude

– Equal weights for the series

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Results: Quality measures X12Arima

– GDP: acceptable reduction in quality

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  M1 M2 M3 M4 M5 M6 M7 M8 M9 M10

M11

Q

Current

0.03

0.01

0.00

0.09

0.20

0.17

0.06

0.26

0.07

0.15

0.07

0.08

Idea 2

0.02

0.01

0.00

0.65

0.20

0.28

0.07

0.30

0.08

0.26

0.20

0.16

Idea 2+3

0.02

0.01

0.00

0.65

0.20

0.28

0.07

0.29

0.08

0.29

0.21

0.16

Results: Statistical discrepancy

– Significant reduction

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Results: Revisions

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– Similar revisions of the GDP

Conclusions

– More uniformity in seasonal adjustment results in less statistical discrepancy without significant reduction of the quality of the results

– Increased uniformity is established with multivariate pretreatment

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Contact: Ronald van der Stegen ([email protected])

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