Establishing guidelines for creating long time series for short-term economic statistics

1
Establishing guidelines for creating long time
series for short-term economic statistics
OECD Short Term Economic Statistics Working Party

• Richard McKenzie OECD

2
Current methods used for linking and backcasting
the IIP

• Given differing lengths of time series the lack
  of international guidelines OECD had concern over
  the consistency of practices across countries
• Initial analysis based on metadata reported to
  OECD, IMF and Eurostat is that a large variety of
  methods are used and terminology is not
  consistent or well understood
• Concerns for comparability of data, and many
  versions of full historical series most likely
  exist

3
Differences in published series length
4
Brief review of OECD countries linking practices
for IIP

• On basis of available metadata
• 16 reported the use of chain linking using a
  variety of methods (10 annual, 6 five yearly)
• 5 reported Laspeyres index with base year 2000
  weights and time series starting in 2000 (i.e.
  true Laspeyres)
• 6 reported Laspeyres index with base year 2000
  weights but time series starting before 2000
  (i.e. this is not a true Laspeyres index but a
  simple fixed weight index)
• 2 reported the use of some other method

5
Policy and practices for producing long time
series

• Differs a lot between EU and non EU countries
  (reflected in time series length)
• Not much reference to user needs, number of
  references to EU regulation
• Bank of Italy comment seemed representative of
  user needs as viewed by OECD
• Importance of reliable long time series for STES
  for a full appraisal of business cycle both in
  historical perspective and for forecasting
  purposes

6
Common themes in comments

• Backcasting is resource intensive
• Especially when classifications change
• US Retail trade presentation is a good example of
  the detailed work involved just to produce data
  back to 1992 (OECD linked index at aggregate
  level goes back to 1959)
• Changes in classification / methodology mean that
  historical series on old basis no longer relevant
  / cannot be made comparable
• Regulations in EU seen as a proxy for user needs?

7
User needs

• Had comments from Bank of Italy stressing the
  importance for empirical analysis
• OECD Economics Department demands longest time
  series as possible for their empirical analysis
• Hence the policy of the Statistics Directorate as
  supplier
• If we dont provide the data, ECO do their own
  linking
• ECB have remarked on the important of data from
  the Main Economic Indicators (compared to New
  Cronos) because of the longer time series

8
User needs

• Analytical users need long time series if the
  NSO doesnt provide them they will source them
  from someone who does or recreate their own
• Regardless of methodological issues or costs to
  NSOs
• Multiple versions of historical series exist,
  using different methodologies for backcasting /
  linking
• Lack of knowledge of good practices (e.g. linking
  methodology first common period, first common
  year), lack of knowledge of methodology of
  different segments of old series
• Impact on seasonal adjusted series needs careful
  examination (change in seasonal factors between
  versions)

9
User needs

• Is the National Statistical Office (or compiling
  authority) best placed to create one official
  version of longest time series possible?
• If not them, then who is?
• Could a distinction be made between backcasting
  at a detailed level and at an aggregate level?
• How to define the aggregate level?
• What are the real user needs?

10
Guidelines on backcasting and linking

• Nothing comprehensive exists for short-term
  statistics
• IMF manual for quarterly national accounts
• PPI manual
• Eurostat Methodology of short-term business
  statistics
• Most comprehensive source for STES but guidelines
  for backcasting / linking need more detail and
  examples (no EU country uses the method
  recommended in the current guidelines)

11
Guidelines on backcasting and linking

• About half countries commented on importance of
  STESWP establishing recommendations
• Many commented on the need for this to be done in
  conjunction with Eurostat, who have already
  established some task forces for NACE
  implementation
• How to represent the interests / needs of non EU
  countries
• Especially those also planning the introduction
  of new classification systems in the coming years

12
Eurostat task force on NACE implementation

• Producing a handbook on back-casting
• Questionnaire
• 3 methods
• Detailed working on micro data FR, NL, Estat-B5
• Proportion methods STS(Estat-D3), AT, DE, UK
• Extrapolation between bench markings
  ind(Estat-D1), ?
• First draft mid September 2006 TF meeting Sep
  21st
• Handbook November 2006 on the website
• Detailed application of handbook to short-term
  statistics
• Proposal to WG in December 2006 following release
  of first draft of handbook

13
Possible scope of guidelines

• Terminology (goal to have harmonised metadata)
• Index types, advantages and disadvantages and
  frequency of weighting updates define
  preferred, alternative, poor practices
• Linking methods, advantages and disadvantages,
  interaction with seasonally adjusted series
  (issue for SA handbook?)
• Backcasting in conjunction with classification
  changes
• Possible distinction between detailed and
  aggregate levels, where goal at aggregate levels
  is longest time series possible
• Consistency in practices across set of related
  indicators and range of short-term economic
  statistics
• Assessment of user needs (how to focus this?)

14
Discussion points

• Scope of proposed guidelines, do they cover the
  correct issues
• Should STESWP get involved in this work, how
  should it be co-ordinated with Eurostat, who
  wants to be involved
• Is STESWP an appropriate forum for discussing
  policy on the production of long time series
• Can we have any influence on national practices?
• General discussion on the role of NSOs for
  compiling long time series given wide range of
  comments on the paper
• Interested to hear Eurostat views and especially
  the views of user organisations present at this
  meeting