Seasonal Adjustment, Introductory Course

ADVANCED SEASONAL ADJUSTMENT

COURSE LEADER Dario Buono (Eurostat Unit B1, Quality methodology and research)

TARGET GROUP Advanced users of seasonal adjustment methods and/or analysts involved in quantitative short-term economic analysis who want to enhance their knowledge of Tramo-Seats and X12Arima methods and ESS guidelines on SA .

ENTRY . Sound knowledge of English QUALIFICATIONS . Participants must already be familiar with seasonal adjustment (previous attendance to the ESTP seasonal adjustment introductory course or to another training on time-series analysis and/or seasonal adjustment is required) . Basic knowledge of Tramo-Seats and X12Arima methods is required . Experience with applied time-series analysis

OBJECTIVE(S) To provide the participants with a sound and comprehensive knowledge of all the steps of the seasonal adjustment process in line with ESS guidelines on seasonal adjustment. To train the participants to the use of different statistical quality measures related to seasonal adjustment and to provide them with a better understanding of the concept of validation of SA data. To enable participants to proficiently use Tramo-Seats and X-13 and to explore Demetra+ functionalities which integrate both approaches

CONTENTS . ESS guidelines on SA . Pre-adjustments: Outliers and Calendar effects . Moving Averages and X-12 filters . X-12-Arima: Methods and Diagnostics . Model-based decomposition . Tramo-Seats: Methods and Diagnostics . Direct versus indirect adjustment . Revisions of SA data . Quality of seasonal adjustment . Problematic series . Exchange of practices . Demetra+

EXPECTED Participants will become familiar with the ESS guidelines on seasonal adjustment and their implementation. OUTPUT Participants will be able to apply and exploit the methodology of the programs X-13A-S, Tramo and Seats both for advanced treatment of key series and for routine use in large data bases. Participants will be able to carefully evaluate the results of seasonal adjustment and make decisions on their validation. At the end of the course, participants will have acquired an in-depth knowledge of Tramo-Seats and X13-ARIMA-SEATS methods and will be advanced users of the TSW, X13 A_S and Demetra + . TRAINING Lectures, discussion of some case studies, practical examples of METHODS problematic series (participant should bring their own ones), PC lab sessions

REQUIRED Any introductory text book on statistics, such as Introduction to the Theory READING of Statistics (McGraw-Hill Series in Probability and Statistics), by Alexander McFarlane Mood, Franklin A. Graybill, Duane C. Boes, McGraw-Hill, 1974, ISBN 0070428646

SUGGESTED ESS guidelines on seasonal adjustment. READING Any intermediate/advanced textbook on time series analysis and, in particular, on ARIMA models.

REQUIRED The participants are requested to write a short summary both of their PREPARATION activities in their organisation and of the organisation's practices, problems and experiences in the field of the course. They are required to prepare and bring a set of time-series related to their interest. In the application forms potential participants must indicate relevant training courses they have already attended on seasonal adjustment. Due to the high number of requests, information provided in the application forms will be an important element for carrying out the selection of the participants to the training.

TRAINER(S)/  Augustin Maravall (Bank of Spain) LECTURER(S)  Robert Kirchner (Deutsche Bundesbank)  Dario Buono (Eurostat)

PRACTICAL INFORMATION

WHEN DURATION WHERE ORGANISER APPLICATION VIA NATIONAL CONTACT POINT

26-28 June 2012 3 days Eurostat EUROSTAT Deadline: Luxembourg 04.04.2012