1. bookVolumen 35 (2019): Heft 1 (March 2019)
Zeitschriftendaten
License
Format
Zeitschrift
eISSN
2001-7367
Erstveröffentlichung
01 Oct 2013
Erscheinungsweise
4 Hefte pro Jahr
Sprachen
Englisch
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Consistent Multivariate Seasonal Adjustment for Gross Domestic Product and its Breakdown in Expenditures

Online veröffentlicht: 26 Mar 2019
Volumen & Heft: Volumen 35 (2019) - Heft 1 (March 2019)
Seitenbereich: 9 - 30
Eingereicht: 01 Jul 2017
Akzeptiert: 01 Aug 2018
Zeitschriftendaten
License
Format
Zeitschrift
eISSN
2001-7367
Erstveröffentlichung
01 Oct 2013
Erscheinungsweise
4 Hefte pro Jahr
Sprachen
Englisch
Abstract

Seasonally adjusted series of Gross Domestic Product (GDP) and its breakdown in underlying categories or domains are generally not consistent with each other. Statistical differences between the total GDP and the sum of the underlying domains arise for two reasons. If series are expressed in constant prices, differences arise due to the process of chain linking. These differences increase if, in addition, a univariate seasonal adjustment, with for instance X-13ARIMA-SEATS, is applied to each series separately. In this article, we propose to model the series for total GDP and its breakdown in underlying domains in a multivariate structural time series model, with the restriction that the sum over the different time series components for the domains are equal to the corresponding values for the total GDP. In the proposed procedure, this approach is applied as a pretreatment to remove outliers, level shifts, seasonal breaks and calendar effects, while obeying the aforementioned consistency restrictions. Subsequently, X-13ARIMA-SEATS is used for seasonal adjustment. This reduces inconsistencies remarkably. Remaining inconsistencies due to seasonal adjustment are removed with a benchmarking procedure.

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