TURKISH STATISTICAL INSTITUTE Turk Stat Difficulties in Seasonal

TURKISH STATISTICAL INSTITUTE Turk. Stat Difficulties in Seasonal Adjustment N. Alpay KOÇAK Turkish Statistical Institute UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 1

TURKISH STATISTICAL INSTITUTE Turk. Stat Difficulties in seasonal adjustment • In general manner, seasonal adjusment is a type of economic time series analysis. • Trend-Cycle, Seasonal, Transitory, Irregular, Calendar Effect, Outliers, Missing Observations, Forecasts etc. • Actually, one can use one of these components to interprete the properties of the economic time series. UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 2

TURKISH STATISTICAL INSTITUTE Turk. Stat Difficulties in seasonal adjustment • Original series – seasonality = Seasonal Adjusted series (for short term economic analysis) • Trend-cycle component (for short-term economic analysis with smoother series) • Seasonal and calendar component (to understand underlying movements of the series in a year) • Outliers (to understand shocks and persistent effects on the series) • Etc. . . UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 3

TURKISH STATISTICAL INSTITUTE Turk. Stat Classical Output of Demetra+ UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 4

TURKISH STATISTICAL INSTITUTE Turk. Stat Trend_Cycle = Trend + Cycle UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 5

TURKISH STATISTICAL INSTITUTE Turk. Stat Seasonal Component UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 6

TURKISH STATISTICAL INSTITUTE Turk. Stat Irregular component UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 7

Turk. Stat TURKISH STATISTICAL INSTITUTE Trading Days (Fixed holidays included)) Trading days Parameter Value Monday -0. 0187 Tuesday 0. 0007 Wednesday -0. 0103 Thursday 0. 0286 Friday -0. 0126 Saturday 0. 0050 Sunday(derived)0. 0072 UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey Std error 0. 0105 0. 0097 0. 0111 0. 0097 0. 0106 0. 0103 0. 0091 T-Stat -1. 77 0. 07 -0. 93 2. 94 -1. 19 0. 49 0. 79 P-value 0. 0861 0. 9447 0. 3611 0. 0061 0. 2424 0. 6309 0. 4334 12/26/2021 8

TURKISH STATISTICAL INSTITUTE Turk. Stat Difficulties in seasonal adjustment • Two main requests for performing good seasonal adjustment of a time series – Conceptual knowledge – Statistical and Econometric knowledge UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 9

TURKISH STATISTICAL INSTITUTE Turk. Stat Difficulties in seasonal adjustment • Conceptual knowledge – Analytical Framework, Concepts, Definitions, and Classifications • Definition • Classification – Scope of the data • Methodologic issues • Geographical issues – Accounting Conventions • Unit • Valuation – Compilation Practices UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 10

TURKISH STATISTICAL INSTITUTE Turk. Statistical and Econometric knowledge • • • Basic data transformations Model estimation (ARIMA model) Significancy Diagnostics Spectrum graphics Filters UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 11

TURKISH STATISTICAL INSTITUTE Turk. Stat Transformation: Level & Log UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey 12/26/2021 12

TURKISH STATISTICAL INSTITUTE Turk. Statistical and Econometric knowledge • • • Basic data transformations Model estimation (ARIMA model) Significancy Diagnostics Spectrum graphics Filters UNECE Workshop on Seasonal Adjustment 20 – 23 February 2012, Ankara, Turkey Not so much theoretical detail! Just to know Why and what they do? 12/26/2021 13