Testing seasonal adjustment with Demetra Zavadskaya Oksana The

Testing seasonal adjustment with Demetra+ Zavadskaya Oksana The National Statistical Committee, Republic of Belarus

Check the original time series In this report, was carried the adjustment of volume indices of gross domestic product (GDP), calculated to the average quarter of 2005 in 2005 prices October 2011

Graphs showing the presence of seasonality In the original time series a seasonal factor is present October 2011

The choice of approach and regressors The approach TRAMO/SEATS was used Pre-defined holidays and national holidays were used Our own specification was used : - Transformation, Function : AUTO - Calendar effect, Operating days, Type : Calendar, Belarus - Details, Operating days: td 2 - The Easter effect, Options: Pretest - Modeling ARIMA, Automatic modeling, Enabled : True October 2011

The applied models Pre-treatment: The estimated period: [I-2005 : IV-2010] Logarithmically transformed series The effects of operating days (2 variables) No effects of Easter Deviating values not found Decomposition: Trending: innovation dispersion = 0, 3802 Seasonal: innovation dispersion = 0, 0000 Irregular: innovation dispersion = 0, 1441 Used model type: ARIMA (0, 1, 1) October 2011

Graph of results Seasonal component in the irregular component is not lost October 2011

Check on a sliding seasonal factor Graph of the ratio of seasonality and irregularity in III and IV quarters October 2011

The main diagnostic quality Final diagnosis: in general, the results are good, there are the unstable spectral calendar peaks in the residuals of regarima Октябрь 2011

Residual seasonal factor There are no indications of residual seasonal and calendar effects, in time series adjusted on seasonal fluctuations Октябрь 2011

Stability of the model Visual assessment of series allows you to conclude that the model is stable October 2011

Analysis of the residuals Residuals analyzed on randomness, normality and independence October 2011

Questions 1. 2. What’s the meaning of «Friedman statistic = -12666373951979500, 0000» in nonparametric tests for seasonal fluctuations in the Friedman test (Friedman test) How to interpret the absence of Autoregressive spectral graph in residuals : October 2011

Questions (continuance) 3. The program did not perform an assessment of nonlinearity. Why? Analysis of the residuals 4. How to interpret the straight line on the S-I ratio graph? October 2011

Questions (continuance) 5. How to explain the "zero" in the test for autocorrelation? Should we consider this as a problem? October 2011

Problems 1. Lack of Russian interface 2. Lack of detailed user's manual of the program in Russian 3. Lack of detailed step by step instructions for novice on decoding results October 2011