Paris, 23-24 June 2008

OECD STESWP 2008

Anna Ciammola – ISTAT

Meeting of the OECD Short-term Economic

Statistics Working Party (STESWP)

An application to the Italian IIP

Using results from revision analysis to improve compilation/estimation methods

2/19Paris, 23-24 June 2008

OECD STESWP 2008

Outline

Introduction

A case study: the Italian IIP

Description of the approach

Presentation of the results

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OECD STESWP 2008

For users

Objective Availability of all the relevant information for using appropriately the estimates of ST

indicators at different stages of the revision process

provision of information about

past revisions

schedule future revisions

(statistical and definitional)

real-time databases gathering all the vintages

analysis of size, bias and efficiency

of revisions

Introduction

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OECD STESWP 2008

For producers

Underlying issues

Bias in the revision process Inefficiency in compilation of preliminary estimates

Targets

Reduction of (the size of) “avoidable” revisions

Detection of the source for bias / inefficiency

Introduction

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OECD STESWP 2008

Italian Index of Industrial Production (IIP)

1. Source and timing of revisions

2. Revision analysis

3. Top-down approach

4. Results

A case study

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OECD STESWP 2008

1. Source and time of revisions

Y(t-3) Y(t-2) Y(t-1)Current Year Y(t) – Reference month

J F M A M J J A S O N DM LR CE

A LR CE PC

M LR CE

J LR CE

J LR CE

A LR CE

S LR CE

O LR CE LR CE

N LR CE

D LR CE

J LR CE

F LR CE

First estimate Second estimate Six-month revision Annual revision

LR Late respondents CE Correction of errors PC Productivity coefficients

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OECD STESWP 2008

2. Revision analysis

IIP - Revisions on raw year-on-year growth rates

Period: Jan-03 / Dec-07 h=1 h=12

# of revisions 60 48

MAR 0.142 0.246

RMAR 0.053 0.087

MR 0.075 0.083

SD of MR(HAC) 0.021 0.056

T-value 3.564 1.489

Significance of MR Yes * No *

Legend

h=1 – after one month h=12 – after 12 months

MAR – Mean Absolute Revision RMAR – Relative MAR

MR – Mean Revision SD – Standard Deviation

*

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OECD STESWP 2008

2. Revision analysis

Jun Dec-03 Jun Dec-04 Jun Dec-05 Jun Dec-06 Jun Dec-07

-0.5

-0.4

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

IIP - Revisions after one month on raw year-on-year growth rates

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OECD STESWP 2008

Tools

Revision measures ► Mean Revision► Mean Absolute Revision► Mean Squared Revisions (together with its decomposition)► …

Weighted response rates

Average contribution of components to the MR of IIP index

3. Top-down approach

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OECD STESWP 2008

3. Top-down approach

IIP

Migs CND CDU CAP INT ENE

Divisions DINT,1 … DINT,j … DINT,7

Groups GINT,1 … GINT,k … GINT,20

Classes CINT,1 … CINT,m … … ... ... CINT,n ... …

Diagram describing the top-down approach

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OECD STESWP 2008

Computation of the contribution to the MR

Revision of July 2004 and January months also affected by the revision of the productivity coefficients

Simulation exercise aimed at:

1. highlighting the effect of the imputation of late respondents

2. fulfilling the condition necessary to compute the average contribution of each components

3. Top-down approach

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OECD STESWP 2008

4. Results

MIGS - Revisions after one month on raw Y-o-Y growth rates

Period: Jan-03 / Dec-07  CND CDU CAP INT ENE

Weights % 22.9 6.1 23.8 35.5 11.7

MAR 0.272 0.415 0.378 0.223 0.149

RMAR 0.084 0.081 0.088 0.073 0.040

MR 0.092 0.072 0.042 0.143 -.003

Contribution to MR ° 0.019 0.006 0.010 0.047 -.003

SD of MR(HAC) 0.047 0.103 0.071 0.030 0.040

T-value 1.962 0.694 0.589 4.724 -.079

Significance of MR No * No * No * Yes * No *Legend CND – Consumer non durables

CDU – Consumer durables CAP – Capital goods

INT – Intermediate Goods ENE – Energy

° Period Jan-04 / Dec-07 *

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OECD STESWP 2008

4. Results

Dec-03 Dec-04 Dec-05 Dec-06 Dec-07-1.5

-1

-0.5

0

0.5

1

1.5Capital goods

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec-1.5

-1

-0.5

0

0.5

1

1.5Capital goods by month

Dec-03 Dec-04 Dec-05 Dec-06 Dec-07-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

1.2Intermediate goods

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

1.2Intermediate goods by month

Revisions after one month on raw Y-o-Y growth rates

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OECD STESWP 2008

4. Results

Average weighted response rates

Year Estimate IIP CND CDU CAP INT ENE

2004First 91.5 93.9 94.3 90.3 88.3 97.4

Second 95.0 95.7 96.1 93.4 93.8 99.6

2005First 90.2 90.6 93.5 88.1 87.9 98.7

Second 93.3 93.1 95.4 91.3 92.4 100.0

2006First 88.7 89.0 90.4 87.4 86.4 97.3

Second 91.7 91.4 92.5 90.1 90.1 99.9

2007First 83.7 84.7 82.4 80.8 80.6 97.6

Second 87.6 88.4 86.0 85.6 84.9 99.0

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OECD STESWP 2008

4. Results

Revisions after one month on raw Y-o-Y growth rates

Period: Jan-04 / Dec-07  S NS

Weights % 32.3 67.7

MAR 0.362 0.263

RMAR 0.100 0.082

MR 0.263 0.071

Contribution to MR of INT 0.088 0.047

SD of MR(HAC) 0.066 0.050

T-value 3.985 1.407

Significance of MR Yes * No *

Legend

S – Selected subset of INT (19 NACE classes)

NS – Complement of S in INT (S U NS = INT)

* = 5%

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OECD STESWP 2008

4. Results

Revisions after one month on raw Y-o-Y growth rates

Period: Jan-04 / Dec-07  S SC

Weights % 11.5 88.5

MAR 0.362 0.159

RMAR 0.100 0.055

MR 0.263 0.056

Contribution to MR of IIP 0.030 0.049

SD of MR(HAC) 0.066 0.032

T-value 3.985 1.766

Significance of MR Yes * No *

Legend

S – Selected subset of INT (19 NACE classes)

SC – Complement of S in IIP (S U SC = IIP)

* = 5%

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OECD STESWP 2008

Some evidences

Sectors in the subset S different in terms of either business concentration or production process (on order or not)

Reasons for revisions traced back to:

► partial information previously provided by respondents (especially small firms) and revised the

month after

► estimation of the production levels of non respondents at the first release

4. Results

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OECD STESWP 2008

Possible countermeasures

Intensive follow up of specific groups of units (especially for large firms that work on orders)

Different methods for the imputation of non responses

► some methodological proposals already implemented in the production process of IIP

taking into account firm size several estimators

4. Results

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OECD STESWP 2008

Acknowledgements

Teresa Gambuti – ISTAT IIP survey

Anna Rita Mancini – ISTAT IIP survey

Thank you!