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Testing seasonal adjustment with Demetra+. Zavadskaya Oksana The National Statistical Committee , Republic of Belarus. Check the original time series. - PowerPoint PPT Presentation
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Testing seasonal Testing seasonal adjustment with Demetra+adjustment with Demetra+
Zavadskaya Oksana The National Statistical Committee, Republic of Belarus
October 2011
Check the original time seriesIn 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 usedOur own specification was used : - Transformation, Function : AUTO - Calendar effect, Operating days, Type : Calendar, Belarus - Details, Operating days: td2 - The Easter effect, Options: Pretest - Modeling ARIMA, Automatic modeling, Enabled : True
The applied models
Pre-treatment:
The estimated period: [I-2005 : IV-2010]Logarithmically transformed seriesThe effects of operating days (2 variables)No effects of EasterDeviating 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)(0,1,1)
October 2011
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
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
October 2011
Visual assessment of series allows you to conclude that the model is stable
Analysis of the residuals
October 2011
Residuals analyzed on randomness, normality and independence
October 2011
Questions1. What’s the meaning of «Friedman statistic = -12666373951979500,0000»
in nonparametric tests for seasonal fluctuations in the Friedman test (Friedman test)
2. How to interpret the absence of Autoregressive spectral graph in residuals :
Questions (continuance)
3. The program did not perform an assessment of nonlinearity. Why?
4. How to interpret the straight line on the S-I ratio graph?
Analysis of the residuals
October 2011
Questions (continuance)
5. How to explain the "zero" in the test for autocorrelation? Should we consider this as a problem?
October 2011
October 2011
Problems
1. Lack of Russian interface2. Lack of detailed user's manual of the program in
Russian3. Lack of detailed step by step instructions for
novice on decoding results
