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Introduction to Ecotrim and DEMETRA

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Introduction to Ecotrim and DEMETRA+ Lunch time presentation 14th of April 2011 Dario BUONO and Enrico INFANTE Unit B2 Methodology and Research 14/04/2011 – PowerPoint PPT presentation

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Title: Introduction to Ecotrim and DEMETRA


1
Introduction to Ecotrim and DEMETRA
Lunch time presentation 14th of April
2011 Dario BUONO and Enrico INFANTE Unit B2
Methodology and Research
14/04/2011
2
Objectives
  • Inform the production units about the Eurostat IT
    tools available for Temporal Disaggregation and
    Seasonal Adjustment
  • Identify audience for a possible internal courses
    (including demo session) at ESTAT on the subject
  • No methodological issues will be addressed
  • No software demo, only screenshots

14/04/2011 Introduction
3
Contents
  • Summary information on ECOTRIM (30 mins)
  • Summary information on DEMETRA with briefing on
    the ESS guidelines on Seasonal Adjustment (30
    mins)
  • User support provided by Unit B2 Methodology and
    Research (10 mins)
  • Q A (20 mins)

14/04/2011 Introduction
4
Why Ecotrim and DEMETRA together?
  • Target users are the same

5
ECOTRIM
TOOL FOR TEMPORAL DISAGGREGATION OF TIME SERIES
Dario BUONO
14/04/2011
6
Topics
  • Ecotrim in the framework of data production
  • Techniques available in Ecotrim

14/04/2011 ECOTRIM
7
Forewords
  • Ecotrim is a program written for Windows and has
    been developed by Eurostat
  • There is a project within Eurostat (UNIT C2) for
    the development/maintenance of the program
  • The main aim of this presentation is to
    demonstrate the potential of the application
  • User manual is available in EN and FR
  • http//circa.europa.eu/Public/irc/dsis/ecotrim/lib
    rary

14/04/2011 ECOTRIM
8
Why Eurostat developed Ecotrim?
  • ESA 95 paragraph 12.04
  • The statistical methods used for compiling
    quarterly accounts ..can be classified in two
    major categories direct procedure and indirect
    procedure
  • ... indirect procedures are based on Temporal
    Disaggregation of the annual accounts data in
    accordance with mathematical and statistical
    methods using reference indicators that permit
    the extrapolation for the current year

14/04/2011 ECOTRIM
9
Definitions
  • Temporal Disaggregation
  • Process of deriving high frequency data from low
    frequency data and, if available, related high
    frequency information
  • ECOTRIM
  • Supplies a set of mathematical and statistical
    techniques to carry out Temporal Disaggregation

14/04/2011 ECOTRIM
10
Temporal Disaggregation techniques are useful in
compiling short-term statistics
  • Quarterly National Accounts (QNA)
  • Give a quarterly breakdown of the figures in the
    annual accounts
  • Flash estimates
  • Use the available information in the best
    possible way including, in the framework of a
    statistical model, the short-term available
    information and the low frequency data in a
    coherent way
  • Monthly indicators of GDP
  • The monthly estimates are derived from the
    available information respecting the coherence
    with quarterly data

14/04/2011 ECOTRIM
11
Other short-term statistics
  • Short-term industrial statistics
  • Employment
  • Money and banking statistics

14/04/2011 ECOTRIM
12
Techniques available in Ecotrim
14/04/2011 ECOTRIM
13
Basic principles
  • Distribution
  • When annual data are either sums or averages of
    quarterly data (e.g., GDP, consumption, indexes
    and in general all flow variables and all average
    stock variables)
  • Interpolation
  • When annual value equals by definition that of
    the fourth (or first) quarter (e.g., population
    at the end of the year, money stock, and all
    stock variables)
  • Extrapolation
  • When estimates of quarterly data are made when
    the relevant annual data are not yet available

14/04/2011 ECOTRIM
14
Techniques available in Ecotrim
  • Temporal Disaggregation of univariate time series
    by using or not related series and fulfilling
    temporal aggregation constraints
  • Mathematical approach and the optimal, in the
    least squares sense, approach
  • Temporal Disaggregation of multivariate time
    series with respect of both temporal and
    contemporaneous aggregation constraints
  • Flash estimates of current year observations by
    using or not available information on related
    series

14/04/2011 ECOTRIM
15
Temporal and Accounting constraint
  • Statistical offices are often faced with the
    estimation of a set of quarterly series linked by
    some accounting relationship
  • Temporal Disaggregation methods can also be used
    in such cases, to give a solution consistent with
    both temporal and accounting aggregation
    constraints

14/04/2011 ECOTRIM
16
Estimates have to be consistent and coherent
  • Temporal consistency
  • Quarterly values have to match annual values (for
    example the sum of quarterly values of the GDP
    must be equal to the annual value)
  • Accounting coherence
  • Quarterly components of an account should respect
    the accounting constraints (for example, the sum
    of quarterly values of the GDP expenditure side
    components should be equal to the corresponding
    quarterly value of GDP)

14/04/2011 ECOTRIM
17
Temporal Disaggregation methods
  • Univariate Approach
  • Smoothing methods
  • Two steps adjustment methods
  • Time series methods
  • Regression based methods
  • Static models
  • Dynamic models
  • Multivariate Approach
  • Two steps adjustment methods     
  • Regression based methods

14/04/2011 ECOTRIM
18
The classical univariate Temporal Disaggregation
  • Given the annual observations for an account
    aggregate and the quarterly values for a related
    series, the unknown quarterly/monthly values of
    the aggregate are estimated
  • Chow and Lin (1971) worked out a least-squares
    optimal solution on the basis that a linear
    regression model involving the quarterly
    aggregate series and the related quarterly series
    will hold

14/04/2011 ECOTRIM
19
Statistics
  • Rhô
  • R-squared ( next to 1)
  • Durbin-Watson ( about 2 )
  • Probability of F
  • T-stat
  • Reliability indicators (lower value for the range
    between Min and Max)

14/04/2011 ECOTRIM
20
Reminders
  • It must be reminded that the statistics obtained
    within Ecotrim outputs are based on the annual
    data
  • It is advisable to use a unique model all along
    the series
  • Structural breaks must be taken in consideration
  • It is advisable to have observations covering at
    least 20 years when disaggregating annual data
  • It is advisable to have observations covering at
    least 15 years when disaggregating quarterly data

14/04/2011 ECOTRIM
21
ECOTRIM
  • ECOTRIM is a program that supplies a set of
    mathematical and statistical techniques to carry
    out Temporal Disaggregation
  • Structured for Windows 95/98 and Windows NT
  • Visual Basic and C
  • User friendly
  • It can be used according to two different modes
  • Interactive mode
  • Batch mode

14/04/2011 ECOTRIM
22
Interactive mode
14/04/2011 ECOTRIM
23
Batch mode
  • ECOTRIM performs Temporal Disaggregation of
    several jobs
  • starting from a batch command file
  • Batch mode is very useful when handling many
    series

14/04/2011 ECOTRIM
24
Work with ECOTRIM
Input Data
Aggregated Series
Choose the Aggregation Order
14/04/2011 ECOTRIM
25
Work with ECOTRIM
Once you have imported the Aggregated Series, you
will able to import the Related Series
Use the STATUS bar to check the currently loaded
files
14/04/2011 ECOTRIM
26
Work with ECOTRIM
Univariate Methods
Univariate Methods
Left click on the series
Choose the Type of Aggregation
14/04/2011 ECOTRIM
27
Work with ECOTRIM
Choose the Method
and the Related Series
14/04/2011 ECOTRIM
28
Work with ECOTRIM
Compute!!!
and getting results
14/04/2011 ECOTRIM
29
Work with ECOTRIM
Display the data
14/04/2011 ECOTRIM
30
Future of Ecotrim
  • Updating the Visual Basic/C version and
    refurbish the interface of ECOTRIM with the
    purpose to match production and users
    requirements
  • Design of the application as a Building Block,
    CVD compliant
  • Make system Windows 7 compatible, compilation as
    a 64-bit application (former was 16-bit)
  • Inclusion of more recent methods like
  • Univariate Regression based Temporal
    Disaggregation
  • Reconciliation by Two-Step procedures
    (Quenneville Rancourt 2005 Di Fonzo Marini
    2009)

14/04/2011 ECOTRIM
31
DEMETRA
TOOL FOR SEASONAL ADJUSTMENT
Enrico INFANTE
14/04/2011
32
What is DEMETRA?
DEMETRA is a tool for Seasonal and Calendar
Adjustment developed by National Bank of Belgium
for EUROSTAT
Trend-Cycle Component
Identify more components
Outliers
Irregular Component
14/04/2011 DEMETRA
33
What are Seasonal and Calendar Adjustment?
Seasonality
SEASONAL ADJUSTMENT
Fluctuations observed during the year (each
month, each quarter) and which appear to repeat
themselves on a more or less regular basis from
one year to the other
Remove Seasonality
Calendar Effects
CALENDAR ADJUSTMENT
Any economic effect which appears to be related
to the calendar (one more Sunday in the month can
affect production)
Remove Calendar Effects
14/04/2011 DEMETRA
34
Why DEMETRA?
  • ESS Guidelines
  • User friendly!!!
  • It will be Open-Source (java)
  • Based on X12 ARIMA / Tramo-Seats

14/04/2011 DEMETRA
35
Documents about DEMETRA
You can download the latest version of DEMETRA
at the following link
http//circa.europa.eu/irc/dsis/eurosam/info/data/
demetra.htm
At the same link you can find
  • ESS guidelines on Seasonal Adjustment
  • DEMETRA User Manual and other documents
  • Help-Desk e-mail estat-methodology_at_ec.europa.eu
  • Information about the next ESTP course (at
    EUROSTAT, 3-5 May 2011) and the EUROSTAT Training
    Course

14/04/2011 DEMETRA
36
How to work with DEMETRA
First overview
presents the available time series
  • Browser panel

14/04/2011 DEMETRA
37
How to work with DEMETRA
First overview
shows information used or generated by the
software
  • Workspace panel

14/04/2011 DEMETRA
38
How to work with DEMETRA
First overview
will contain the actual analysis
  • Central empty zone

14/04/2011 DEMETRA
39
How to work with DEMETRA
First overview
contains the current time series
  • TSProperties panel

14/04/2011 DEMETRA
40
How to work with DEMETRA
First overview
contains logging information
  • Logs panel

14/04/2011 DEMETRA
41
How to work with DEMETRA
Importing data from Excel
Browser panel
Excel tab
Add command
Open the excel workbook
  • Empty top-left cell
  • True dates in the first column
  • Title of the series in the first row
  • Empty cells for missing values

14/04/2011 DEMETRA
42
How to work with DEMETRA
Displaying the data
Open one of the containers
DRAG DROP
14/04/2011 DEMETRA
43
How to work with DEMETRA
Single Seasonal Adjustment
Choose and activate a specification
Getting results
Seasonality tests
14/04/2011 DEMETRA
44
What happens after SA?
Original, Calendar Adjusted and Seasonally
Adjusted series
Original Series
14/04/2011 DEMETRA
45
What happens after SA?
Original, Calendar Adjusted and Seasonally
Adjusted series
Calendar Adjusted Series
14/04/2011 DEMETRA
46
What happens after SA?
Original, Calendar Adjusted and Seasonally
Adjusted series
Seasonally Adjusted series
The series has been cleaned!!
14/04/2011 DEMETRA
47
What happens after SA?
Growth Rates
Original Series
14/04/2011 DEMETRA
48
What happens after SA?
Growth Rates
Calendar Adjusted Series
14/04/2011 DEMETRA
49
What happens after SA?
Growth Rates
Seasonally Adjusted series
14/04/2011 DEMETRA
50
ESS Guidelines on SA
http//epp.eurostat.ec.europa.eu/cache/ITY_OFFPUB/
KS-RA-09-006/EN/KS-RA-09-006-EN.PDF
  • Introduced in 2009
  • Chapters subdivided into specific items
    describing different steps of the SA process
  • Items presented in a standard structure
    providing
  • Description of the issue
  • List of options which could be followed to
    perform the step
  • Prioritized list of three alternatives from most
    recommended one to the one to avoid (A, B and C)
  • Concise list of main references
  • Added value
  • Conceptual framework and practical implementation
    steps
  • Both for experienced users and beginners

14/04/2011 DEMETRA
51
ESS Guidelines on SA (example 1)
Calendar Adjustment
Calendar Effects typically include
  • Different number of working days in a specific
    period
  • Composition of working days
  • Leap year effect
  • Moving holidays (Easter, Ramadan, etc.)
  1. RegARIMA approach, fully checks the significance
    and plausibility of the effects
  2. Regression approach based on the irregular
    component
  3. Proportional Adjustment other adjustments no
    adjustment

A) Best alternative B) Acceptable C) To be avoided
14/04/2011 DEMETRA
52
ESS Guidelines on SA (example 2)
Validation of Seasonal Adjustment
SA is a complex data treatment which needs
accurate monitoring before the results are
acceptable
Graphical
Descriptive
Parametric and non- parametric tests
  1. Use a detailed set of criteria
  2. Use only default criteria already defined within
    the different tools
  3. Use only the basic set of criteria or do not
    validate

A) Best alternative B) Acceptable C) To be avoided
14/04/2011 DEMETRA
53
USER SUPPORT PROVIDED BY UNIT B2
Dario BUONO
14/04/2011
54
EUROSTAT UNIT B2
Methodology and Research
Define, position and co-ordinate all statistical
actions in the field of research
 
Provide the EU with a service on the statistical
methodologies in order to improve the data
quality and reliability for the use of the EU
policies
Achieve a higher degree of harmonization of the
EUROSTAT and ESS practices on SA
  • Definition of detailed guidelines on SA      
  • Maintenance and development of reliable tools for
    SA at ESS level (DEMETRA)
  • Fostering the exchange of practices among NSIs
  • Organisation of training on SA

14/04/2011
55
EUROSTAT UNIT B2
Methodology and Research
Define, position and co-ordinate all statistical
actions in the field of research
Provide the EU with a service on the statistical
methodologies in order to improve the data
quality and reliability for the use of the EU
policies
  • Consultative role in the ECOTRIM project
  • Partial user support also on methodological
    aspects by EUROSTAT methodology helpdesk

14/04/2011
56
Questions?
14/04/2011
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