Is it necessary to seasonally adjust business and consumer surveys. Emmanuelle Guidetti

Transcription

1 Is necessar o seasonall adjs bsness and consmer srves Emmanelle Gde

2 Olne 1 BTS feares 2 Smlaon eercse 3 Seasonal ARIMA modellng 4 Conclsons

3 Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97 Jan-99 Jan-01 Jan-03 Jan-05 Jan-07 Jan-09 Characerscs of BTS France: Prodcon rend observed n recen monhs

4 Characerscs of BTS BTS are bonded b consrcon possble non lnear behavor, e SETAR-pe behavor: w s 1 1 f f d d wh o 1 varance ma var, b shold no ncrease over me long erm rend s no lkel o occr, BTS are lkel o be saonar, so models shold no rea hese seres as negraed s w

5 Characerscs of BTS BTS are lkel o be non-seasonal Qesons formlaed o gnore seasonal effecs B despe hs precaon, some balance seres ma dspla some seasonal, whch shold be reaed before he seres are analzed How man seres are affeced?

6 Smlaon eercse Wha s he smlaon eercse for? We wold lke o see how seres ha correspond o or prors: - bondedness - no-negraon - no-seasonal - overlappng evalaon horzons) show p n TRAMO-SEATS and X12-ARIMA he smlaon generaes BTS seres and her nderlng eqvalens

7 , , , , 360, , ,2 3 2,2 2 3,1 3 2,1 2 1, 1, ,100 3, ,2 360,1 3,2 3,1 360,100 3, ,2 360,1 3,2 3,1 r r r r r r R R 1 Monhl growh rae of he economc nderlng varable, for he whole econom (eg monhl growh rae of he p) ~ AR(1) Three- monh growh rae of he economc nderlng varable, for he whole econom ~ ARMA(1,2),,, 1, Frm ndvdal monhl esmaon of he nderlng varable, wh ) (0, 2, ~ N r,, 2 1,,, Frm ndvdal hree-monh percepon of he nderlng varable 1 f 0 f -1 f d d d,,, 100 1, R r Frm qalave response reflecng s ndvdal percepon of he nderlng varable BTS seres epressng he 100 frms percepons of he nderlng varable Smlaon eercse

8 Smlaon eercse Resls BTS AR() param = 08 AR() param = 07 AR() param = 06 Underlng ARMA(1,2) TRAMO-SEATS srongl ned owards dfferenaon BTS Underlng ARMA(1,2) TRAMO-SEATS srongl deeced seasonal, b less apparen n he BTS seres han n he nderlng X12-ARIMA rejeced all he models b deeced seasonal on 5% of hem BTS Underlng ARMA(1,2) I SA Rej I SA Rej I SA Rej I SA Rej I SA Rej I SA Rej Mean= Mean= I=negraed, SA = seasonal model, Rej = no accepable model fond

9 Seasonal ARIMA modellng Analss wh TRAMO-SEATS and X12-ARIMA Bre force analss Bo & Jenkns analss

10 Seasonal ARIMA modellng Analss wh TRAMO-SEATS and X12-ARIMA large share of BTS have a seasonal componen (75% wh TRAMO-SEATS and 60% wh X12-ARIMA) endenc o over dfferenaon wh TRAMO-SEATS b hgh nmber of rejeced models

11 Seasonal ARIMA modellng Bre force analss Seres Selecon Model Selecon Model Seres mehod specfcaon mehod specfcaon BEASOB AIC (1 0 6) (1 0 1) PLPREX AIC (3 0 4) (1 0 1) BIC (2 0 2) (1 0 0 ) BIC (1 0 1) (2 0 0) Tramo-Seas (3 1 0) (0 0 1) Tramo-Seas (0 1 1) (0 1 1) DKPREX AIC (2 0 0) (0 0 0) FRPROP AIC (2 0 2) (1 0 1) BIC (1 0 0) (0 0 0) BIC (2 0 2) (1 0 1) Tramo-Seas (0 1 1) (0 1 1) Tramo-Seas (3 1 1) (0 1 1) PTPROP AIC (3 0 6) (1 0 1) BEPROT AIC (3 0 1) (1 0 1) BIC (1 0 1) (1 0 1) BIC (1 0 0) (1 0 1) Tramo-Seas (0 1 1) (0 1 1) Tramo-Seas (0 1 1)(0 1 1) BIC based models are more parsmonos, b parsmon s no acheved va fewer seasonal componens TRAMO-SEATS resls conradced n one seres

12 Seasonal ARIMA modellng Bo and Jenkns analss Correlogram ndcaes ha he opmal model shold have one AR lag mamm and he nmber of MA lags ma range from 3 o 9 poenall The paral aocorrelaon fncon sggess a weak presence of a AR-pe seasonal Model descrpon ARIMA SARIMA BIC The bes BIC based seasonal (2 0 2) (1 0 1) The bes BIC based non-seasonal (3 0 2) (0 0 0) AC and PAC based nonparsmonos, non-seasonal (1 0 7) (0 0 0) AC and PAC based parsmonos (1 0 3) (0 0 0) non-seasonal seasonal eenson AR (1 0 3) (1 0 0) seasonal eenson MA (1 0 3) (0 0 1)

13 Conclson Seasonal adjsmen leads o esmae he raw seres Seasonal adjsmen s bes no done ronel and a carefl analss shold be carred o wh eher he dealed analss modle of TRAMO-SEATS or wh a sandalone economercs SW capable of SARIMA modellng Research cold be nderaken o analze wheher or no dong a seasonal adjsmen has praccal relevance Frher work cold be focsed on he wa we model BTS seres n whch non-lneares - semmng from he bsness ccle or from he bonded nare of he seres - and seasonal are med Wold a SEA-SETAR model gve more accrae resls han a SARIMA model?

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