Seasonal Adjustment Without Revisions: A Real-Time Approach

94 Pages·2023·2.664 MB·English

by  Barend Abeln, Jan P. A. M. Jacobs

SpringerBriefs in Economics
Barend Abeln · Jan P. A. M. Jacobs
Seasonal Adjustment
Without Revisions
A Real-Time Approach
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Barend Abeln Jan P. A. M. Jacobs
Seasonal Adjustment
Without Revisions
A Real-Time Approach
BarendAbeln JanP.A.M.Jacobs
Bussum,TheNetherlands UniversityofGroningen
Groningen,TheNetherlands
ISSN 2191-5504 ISSN 2191-5512 (electronic)
SpringerBriefsinEconomics
ISBN 978-3-031-22844-5 ISBN 978-3-031-22845-2 (eBook)
https://doi.org/10.1007/978-3-031-22845-2
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Preface
In the 1980s, the first author was asked for information about profit prospects of
a number of companies, in order to predict the change of their prices on the stock
market.Helookedupannualreportsandrecentinterimresultsofthesecompanies
andnotedthatinterimresultsconsistedlargelyofacomparisonofrecentquarterly
results to those of the same quarter of the preceding year. Moreover, stock prices
reacted instantly to the outcomes of these comparisons. He was struck by the fact
thattheseoutcomeswerefrequentlypredictable:Iftherehadbeenanupordownin
theprecedingyear’squarterlyresult,thiswouldaffectthecomparisontotherecent
quarter.
Iflastyear’supsordownshadbeenlarge,suchasaprofitonthesaleofaconstruc-
tion,oradepreciationofgoodwill,thesewouldbereferredtointhecomparisonof
thepresentquarterlyreportandwouldnotcomeasasurpriseandhavelittleorno
impactonstockprices.Butifthemarkethadbecomeusedtorisingquarterlyprofits
ofCompanyXtothetuneofsay1%overtheprecedingyear,thenanincrementof
‘only’0.5%intherecentquarterwouldhaveanegativeimpactonthestockprices.
Yet, this slight reduction in the profit’s increment may have its cause not in the
presentquarter,butintheprecedingyearorintheprecedingfewquarters.Butthen
itispredictable!
To foresee the outcomes of year-on-year comparisons, seasonal adjustment is
needed.Evenwhilethecorrespondingperiodsinbothyearsarelikelytohavethesame
seasonalpattern,thisseasonalityhidessmallunseasonalupsordownsineitherperiod
that affect the year-on-year comparison. It is also crucial that seasonal adjustment
isatoncefinal—thatseasonalfactorsarenotrevisedafterward.Therefore,thefirst
author built a seasonal adjustment device, called CAMPLET, first in Visual Basic
later in Excel, that could do seasonal adjustment without revisions. The programs
CAMPLETandMeasureofSeasonalityareavailablefreeofchargeatcamplet.net.
Nearly ten years ago, the first author approached the second author with the
questionwhetherhecouldhelptointroduceCAMPLETintheacademicworldand
to professionals in the field of seasonal adjustment. After several working papers,
national and international articles, we can conclude that our cooperation has been
quite successful and reached its goal. This booklet brings together our joint work
v
vi Preface
in the area of seasonal adjustment without revisions. The chapters can be read
independently,atthecostofsomeoverlap.
We would like to thank our co-authors Machiel Mulder, Pim Ouwehand, and
Jan-Egbert Sturm; Frits Egmond and Bas van Geenen for computational assis-
tance;andSiepKoonenbergforeditorialassistance;Jan-MarcBerk,LexHoogduin,
Gerard H. Kuper, Roelof Salomons, and Elmer Sterken for carefully reading the
wholemanuscriptandsuggestionsforitsimprovement;WilliamR.Bell,Christopher
Bennet,DeanCroushore,JanDeGooijer,MichaelGraff,DominiqueLadiray,Gian
Luigi Mazzi, Tucker McElroy, Yvan Lengwiler, Jean Palate, Simon van Norden,
Jan-Egbert Sturm, Farshid Vahid, and participants at the Conference in Honor of
DeniseR.Osborn,Manchester,aseminaratKOFZurich,theInternationalSeminar
of Forecasting, Rotterdam, the Netherlands, the 8th International Conference on
Computational and Financial Econometrics (CFE 2014), University of Pisa, Italy,
the13thConjunctuurdag,TheHague,theNetherlands,theCIRET/KOF/RIEDWSE
ConferenceEconomicCyclesandUncertainty,Warsaw,Poland,the9thInternational
ConferenceonComputationalandFinancialEconometrics(CFE2015),London,the
JointStatisticalMeetings,ChicagoIll,the10thInternationalConferenceonCompu-
tationalandFinancialEconometrics(CFE2016),SevilleandthefirstESMDSeasonal
Workshop,USCensusBureau,WashingtonDC,theCIRET/KOF/WIFOWorkshop,
October2017,Viennaandthe2ndWorkshoponTimeSeriesMethodsforOfficial
Statistics,September2022,Paris,forcomments.
Finally,wewouldliketothankChristineandJannyformanyyearsofpatience,
unconditionalsupport,andlove.
Bussum,TheNetherlands BarendAbeln
Ameland/Groningen,TheNetherlands JanP.A.M.Jacobs
January2023
Contents
1 Introduction .................................................... 1
1.1 SeasonalityandSeasonalAdjustment .......................... 1
1.2 Revisions .................................................. 2
1.3 Aim ....................................................... 3
1.4 Outline .................................................... 4
2 CAMPLET:SeasonalAdjustmentWithoutRevisions ............... 7
2.1 Introduction ................................................ 7
2.2 CAMPLET ................................................. 8
2.2.1 SeasonalsandNon-seasonals ........................... 8
2.2.2 SeasonalAdjustmentinCAMPLET ..................... 9
2.2.3 Initialization ......................................... 11
2.2.4 OutliersandChangeinSeasonalPattern .................. 11
2.2.5 AutomaticParameterAdjustmentforVolatileSeries ....... 12
2.2.6 CAMPLETParameters ................................ 13
2.3 Simulations ................................................. 14
2.3.1 Design .............................................. 14
2.3.2 X-13ARIMA-SEATS .................................. 15
2.3.3 QualityMeasures ..................................... 16
2.3.4 CurrentVintageComparison ............................ 17
2.3.5 Quasi-Real-TimeComparisonExperiment ................ 17
2.3.6 Discussion ........................................... 22
2.4 Illustrations ................................................. 22
2.4.1 U.S.Non-farmPayrollEmployment ..................... 22
2.4.2 Ahold ............................................... 24
2.4.3 RealGDPintheNetherlands ........................... 27
2.5 ConcludingRemarks ......................................... 27
3 SeasonalAdjustmentofEconomicTendencySurveyData ........... 31
3.1 Introduction ................................................ 31
3.2 SeasonalAdjustment:CensusandCAMPLET ................... 32
3.3 TheKOFBarometer ......................................... 33
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viii Contents
3.4 EmpiricalIllustration ........................................ 36
3.4.1 ComparisonofKOF-CensusandCAMPLETSeasonally
AdjustedVariables .................................... 36
3.4.2 ImplicationsfortheKOFBarometer ..................... 38
3.5 ConcludingRemarks ......................................... 39
4 ResidualSeasonality:AComparisonofX13andCAMPLET ........ 43
4.1 Introduction ................................................ 43
4.2 MeasuringSeasonality ....................................... 44
4.3 Data ....................................................... 45
4.4 SeasonalityandResidualSeasonalityOutcomes ................. 45
4.5 ConcludingRemarks ......................................... 49
5 COVID-19andSeasonalAdjustment .............................. 53
5.1 Introduction ................................................ 53
5.2 SeasonalAdjustmentMethodology ............................ 55
5.2.1 SeasonalDecomposition ............................... 55
5.2.2 DescriptionofMethodsUsedinThisChapter ............. 55
5.2.3 AdjustmentsBecauseoftheCOVID-19Crisis ............. 57
5.3 Illustrations ................................................. 58
5.3.1 DataandSettingsofSeasonalAdjustmentMethods ........ 58
5.3.2 Results .............................................. 58
5.3.3 Discussion ........................................... 61
5.4 ConcludingRemarks ......................................... 61
6 SeasonalAdjustmentofDailyDatawithCAMPLET ............... 63
6.1 Introduction ................................................ 63
6.2 SeasonalAdjustmentofDailyData ............................ 64
6.3 AdjustmentsinCAMPLETforDailyData ...................... 65
6.4 Comparisons ................................................ 67
6.5 GasConsumptionandProductionintheNetherlands ............. 71
6.5.1 SeasonalCycles ...................................... 74
6.5.2 Gas Consumption and Production, and Mean
Temperature .......................................... 77
6.6 ConcludingRemarks ......................................... 77
7 Conclusion ..................................................... 79
Bibliography ....................................................... 83
About the Authors
BarendAbelnbeganhiscareeratUnilever(Rotterdam,
Netherlands) in the economics department, where he
reportedonmacroeconomicdevelopmentsinEuropean
countries.Subsequently,hebecameaproductmanager
atUnileverFrozenFoods(Utrecht).In1972,heentered
the real estate market as a founder and the CEO of
Vlakland Planontwikkeling BV, realizing five second-
home projects and a hotel on the French Côte d’Azur.
In 1982, he became a private investment consultant in
Amsterdam and developed a state-of-the-art seasonal
adjustmentprocess.
JanP.A.M.JacobsstudiedeconometricsattheUniver-
sity of Groningen (Netherlands) and played volley-
ball at international level (46 international matches).
After a brief position at Philips Medical Systems, he
returned to his alma mater and received his Ph.D. on
“EconometricBusinessCycleResearch”in1998.Heis
an associate professor at the Faculty of Economics of
theUniversityofGroningen,whereheteachesapplied
macroeconometricstomasterandgraduatestudents.He
publishedmorethanfortyarticlesinpeer-reviewedjour-
nals in economics (Journal of Econometrics, Journal
of Applied Econometrics, Journal of Business and
EconomicStatistics,MacroeconomicsDynamics,Scan-
dinavian Journal of Economics, Journal of Macroeco-
nomics),law(InternationalJournalofLawintheBuilt
Environment), and medicine (BMC Family Practice,
EconomicsandHumanBiology).
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