Impact of calendar effects

1
Impact of calendar effects
UNECE Workshop on Seasonal Adjustment 20 23
February 2012, Ankara, Turkey

• Anu Peltola
• Economic Statistics Section, UNECE

2
Overview

• Meaning of calendar effects
• Causes of calendar effects
• Types of calendar effects
• Reason for calendar corrections
• Problematic issues

3
Calendar Effects

• any economic effect related to the calendar
• Seasonal component includes two types of effects
  seasonal calendar related
• Removed before seasonal adjustment
• Include
• number of different days in a month
• composition of working and non-working days
• moving holidays
• leap year effect
• Alter the level of activity measured

4
Causes of Calendar Effects

• The rhythms of human activity
• 24-hour rotation of days
• Weekly rest
• Holiday periods
• Traditional behaviour related to the calendar
• These social habits and rhythms also cause
  seasonality
• Changes in habits between winter and summer are
  not part of calendar effects, but seasonal effects

5
Calendar Correction

• Removes non-seasonal calendar effects from the
  data, if statistical evidence and economic
  explanation
• Four possibilities
• Trading days (working/non-working, 6 regressors))
• National and moving holidays ((provided by the
  user))
• Leap-year
• Easter
• Demetra pre-tests the presence of these effects,
  if tests are significant
• Using calendar adjustment / calendar correction
  improves significantly results!

6
Working Day Effect

• Difference between week/weekend days
• Volume of production may be smaller on Saturdays
  and Sundays than on weekdays
• Level of activity is higher if the month contains
  more weekdays
• Working day effect
• Sometimes, the number of weekdays doesnt affect
  the level of activity at all, for example, when
  the factories operate in shifts every day.

7
Trading Day Effect

• Difference between all days of the week
• Means that the level of the measured variable
  varies depending on the day of the week
• Different days have a different weight/ effect on
  the data

8
Moving Holidays

• The impact on the series of holidays whose
  exact timing shifts from year to year
• Examples of moving holidays
• Easter
• Chinese New Year - where the exact date is
  determined by the cycles of the moon
• Ramadan
• Need to be added by the user to Demetra

9
Moving Holidays

• April 2008 3 working days vs. April 2007
• Easter was not in April in 2008
• Without any adjustment IPI grew about 8 per cent
  (April 2008 from April 2007)
• If you working day adjust, growth was 5 per cent

Growth rates (April 2008) Growth rates (April 2008) Growth rates (April 2008)
from April 2007 from March 2008
Original series 8.1 -
Working day adjusted 5.1 -
Seasonally adjusted - 1.2
10
National Holidays

• Influence the number of working days
• Country specific historical list of public
  holidays and compensation holidays need to be
  kept
• Improve estimates of the calendar component
• Compensation holiday additional holidays
  sometimes announced if a national holiday falls
  into the weekend
• Need to be added by the user to Demetra

11
Leap Year

• The leap year adds one day in every four years
• The day can be either a working day or it may
  fall into the weekend
• Demetra tests for the significance of the leap
  year effect

12
Trading/Working Day Adjustment

• Aims at a series independent of the composition
  of days in a month
• In the working day adjusted data everyday is
  equal
• Improves quality of seasonal adjustment!
• Easier to observe the underlying economic
  development
• Should be applied only if these effects are
  present
• Compile, maintain and add national holidays for
  better estimates!

13
Problematic Calendar Issues

• Changes in regular national holidays
• Abolished holidays new holidays
• Regional differences in holiday calendars in a
  country
• Complex set of moving holidays
• Excessive use of compensation holidays
• Changing durations of holidays
• Combining national holidays with pre-defined
  calendar corrections
• Bridge effect means that complete the holiday
  with the days which are decided by goverment
  (bonus days)