Identifying the Sources of Seasonal Effects in an indirectly adjusted Chain-Linked Aggregate: A Framework for the Annual Overlap Method

Cobb, Marcus (2014): Identifying the Sources of Seasonal Effects in an indirectly adjusted Chain-Linked Aggregate: A Framework for the Annual Overlap Method.

Abstract

The use of chain-linked methods reduces significantly the problem of price structure obsolescence present in fixed base environments. However, price updating introduces a new dimension that may produce confusion if not accounted for. Probably the most notorious difficulty generated by the introduction of chain-linked indices to the measurement of GDP has been that the aggregate is not the direct sum of its components, thus not only making it harder to explain its behaviour but also making it more cumbersome to work with the series in a consistent manner. Because of the non-additivity of the components, one of the processes that have been affected is that of the indirect seasonal adjustment. This document presents a consistent framework to identify and track down the sources of seasonal effects to its components in an aggregate measure chain-linked using the annual overlap method. This is done based on the decomposition of component’s contributions and the indirect seasonal adjustment. The framework allows separating the effects on growth rates into non-systematic seasonal effects, systematic seasonality and changes in systematic seasonality.

• Item Type: MPRA Paper
• Language: English
• Keywords: Seasonal Adjustment, Annual Overlap, Chain-linking
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O11 - Macroeconomic Analyses of Economic Development; O - Economic Development, Innovation, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence

References

Astolfi, R., D. Ladiray y G. Mazzi (2001), “Seasonal Adjustment of European Aggregates: Direct versus Indirect Approach”, Working Paper 2001-14, Eurostat.

Banque Nationale de Belgique (2010), “Issues encountered with quarterly volume balances measured in chain-linked euros: levels and contributions to growth - a new approach for the quarterly national accounts”.

Cobb, M. (2013), “Industry Contributions to GDP Quarterly Growth,” Economic Statistics Series 100, Central Bank of Chile.

Cobb, M. (2014a), “GDP Forecasting Bias due to Aggregation Inaccuracy in a Chain-Linking Framework,” Working Papers Central Bank of Chile 721, Central Bank of Chile.

Cobb, M. (2014b), “Explaining GDP Quarterly Growth from its Components in the Context of the Annual Overlap Method: A Comparison of Approaches,” MPRA Paper 58022, University Library of Munich, Germany.

Cobb, M. and M. Jara (2013), “Ajuste estacional de series macroeconómicas chilenas,” Economic Statistics Series N°98, May 2013, Central Bank of Chile.

Eurostat (2008), “Task Force on Seasonal Adjustment of Quarterly National Accounts Final Report”, January 2008.

Eurostat (2009) “ESS Guidelines on Seasonal Adjustment”, Methodologies and Workingpapers, Eurostat.

Findley, D.F., Monsell B.C., Bell W.R., Otto M.C., y Chen B., (1998), “New Capabilities and Methods of the X-12-ARIMA Seasonal Adjustment Program”, Journal of Business and Economic Statistics,Vol 16.

Foldesi,E.,P. Bauer, B. Horvath y B. Urr (2007), "Seasonal adjustment methods and practices", HoSA Handbook, Hungarian Central Statistical Office.

Gómez V. y A. Maravall, (1997), “Programs TRAMO and SEATS, Instructions for the User” Banco de España.

Guerrero, S., R. Luengo, P. Pozo and S. Rébora (2012), “Nuevas series de Cuentas Nacionales encadenadas: Métodos y fuentes de estimación”, Estudios económicos estadísticos n° 90 - Marzo 2012, Banco Central de Chile.

IMF (2001), “Quarterly National Accounts Manual - Concepts, Data Sources, and Compilation”, A.M. Bloem, R.J. Dippelsman and N.O. Maehle, International Monetary Fund.

INSEE (2007), “Calcul des contributions en volumes chaînés”, NOTE aux utilisateurs N°47, Direction des Etudes et Synthèses Economiques, Institut National de la Statistique et des Etùdes Économiques.

OECD (2006a), “Understanding National Accounts”, F. Lequiller and D. Blades, Organisation for Economic Co-operation and Development.

OECD (2006b), “Survey of OECD member country practices in deriving contributions to GDP volume growth and quarterly changes in inventories”, Organisation for Economic Co-operation and Development.

OECD (2009), “The situation of quarterly national accounts data transmission to the OECD”, October 2009.

OECD (2013), “Methodological notes referring to the OECD press release: Contributions to GDP growth”, Organisation for Economic Co-operation and Development.

ONS UK (2007), “Guide to Seasonal Adjustment with X-12-ARIMA”, ONS Methodology and Statistical Development, March 2007.

SNA (1993), “System of National Accounts”, Statistical Commission of the United Nations. Commission of the European Communities – Eurostat, International Monetary Fund, Organisation for Economic Co-operation and Development, United Nations and World Bank.

Steindel, C. (1995), “Chain-weighting: the new approach to measuring GDP,” Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 1 n° 9, issue Dec.

U.S. Census Bureau (2013), “X-13ARIMA-SEATS Reference Manual Version 1.0” Statistical Research Division.Washington.