WGGES - Template for PowerPoint

1
Seasonal adjustmentof chain-linked volume
measuresin Quarterly National AccountsFindings
of a European Task Force
Martin Eiglsperger European Central Bank DG
Statistics
The 2008 World Congress on National Accounts and
Economic Performance Measures for Nations
Washington D.C., 12-17 May 2008
The views expressed in this presentation are
those of the author and do not necessarily
reflect the views of the European Central Bank.
2
1
Background

• Annual chain-linking of Quarterly National
  Accounts (QNA) volume measures
• By almost all statistical offices in the EU since
  2005
• Implementation not fully harmonised across EU
  countries
• 2007 European Task Force, chaired by Eurostat
  and the ECB 19 EU countries participated?
  impact of chain-linking techniques and relevance
  for seasonal adjustment
• Detailed investigations by Robert Kirchner, Ingo
  Kuhnert, Sven Öhlén and Marcus Scheiblecker

3
2
Chain-linking techniques (1)

• Three approaches to the annual chain-linking of
  Laspeyres volume indices in average prices of the
  previous year
• Annual overlap technique links refer to the
  volumes of the previous year at average prices of
  the year
• One-quarter overlap technique links refer to the
  volumes of the fourth quarter in the previous
  year at average prices of the year
• Over-the-year technique links refer to the
  volumes of the same quarter in the previous year
  at average prices of the year

4
3
Chain-linking techniques (2)

• Use of chain-linking techniques in EU countries
• Annual overlap technique most EU countries
• One-quarter overlap technique Austria and the
  United Kingdom
• Over-the-year technique Used in the Netherlands
  and Sweden change-over to the annual overlap
  technique planned / (partly) realised

5
4
Effect on growth rates

• Annual overlap techniqueYear-on-year growth
  rates do not reflect pure volume changes,
  quarter-on-quarter rates do within the same
  calendar year
• One-quarter overlap techniqueQuarter-on-quarter
  growth rates reflect pure volume changes
• Over-the-year techniqueYear-on-year growth
  rates reflect pure volume changes

6
5
Effect on time consistency

• Annual overlap techniqueAnnually chain-linked
  QNA and chain-linked Annual National Accounts
  (ANA) are consistent over time
• One-quarter overlap techniqueAnnually
  chain-linked QNA and chain-linked ANA are not
  consistent over time ? benchmarking
• Over-the-year techniqueAnnually chain-linked
  QNA and chain-linked ANA are not consistent over
  time, but deviations tend to be very small

7
6
Aggregation and disaggregation

• Aggregation/disaggregation of unchained data
• Annual overlap techniqueNominal values of the
  previous year as weights ? existing data
• One-quarter overlap techniqueVolumes of the
  fourth quarter of the previous year at average
  prices of the year as weights ? additionally
  required
• Over-the-year techniqueVolumes of the
  respective quarter of the previous year at
  average prices of the year as weights ?
  additionally required

8
7
Time series properties (1)
Chain-linked volume measures Trend and weak
substitution effect in the source data
Source Kuhnert, I. (2007), internal presentation
to the Task Force
9
8
Time series properties (2)
Chain-linked volume measures Trend and strong
substitution effect in the source data
Source Kuhnert, I. (2007), internal presentation
to the Task Force
10
9
Seasonally adjusted series

• Time consistency
• not present in seasonally adjusted data
• Task Force recommends benchmarking
• Aggregation and disaggregationOne-quarter-overla
  p and over-the-year technique require additional
  weights data, annual overlap-technique does not
  (after benchmarking)
• Additivity of s.a. data via indirect
  adjustment, i.e. aggregation of unchained s.a.
  data?? consistency vs. quality of seasonal
  adjusted data might be an issue

11
10
Order of procedures

• Chain-linking, seasonal adjustment, benchmarking
• Non-linearity of procedures Order matters!
• Benchmarking as the last step in order to fulfil
  user requirements for time consistency
• Benchmarking can have a significant impact on the
  seasonal pattern (ARIMA-models, X-12 output)
• Seasonal adjustment after chain-linking
• Research by the Office for National Statistics
  (United Kingdom) Drift of one-quarter-overlap
  approach could be reduced by conducting s.a.
  first

12
11
Summary (1)

• Over-the-year technique can have a substantial
  impact on the seasonal pattern ? not recommended
  by the Task Force
• Annual overlap technique Time-consistent data
  no additional data requirements for aggregation!
• One-quarter-overlap technique smooth transition,
  but does not produce time-consistent series ?
  benchmarking is recommended
• Seasonally adjusted chain-linked series
  benchmarking is recommended in order to produce
  time-consistent series

13
12
Summary (2)

• Consistency in aggregation of seasonally adjusted
  data Indirect adjustment by aggregating
  unchained data ? consistency vs. quality of
  seasonal adjusted data might be an issue
• One-quarter-overlap approach
• Seasonal adjustment before chain-linking?
• Benchmarking!