1. bookVolume 35 (2019): Edition 1 (March 2019)
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Magazine
eISSN
2001-7367
Première parution
01 Oct 2013
Périodicité
4 fois par an
Langues
Anglais
access type Accès libre

Consistent Multivariate Seasonal Adjustment for Gross Domestic Product and its Breakdown in Expenditures

Publié en ligne: 26 Mar 2019
Volume & Edition: Volume 35 (2019) - Edition 1 (March 2019)
Pages: 9 - 30
Reçu: 01 Jul 2017
Accepté: 01 Aug 2018
Détails du magazine
License
Format
Magazine
eISSN
2001-7367
Première parution
01 Oct 2013
Périodicité
4 fois par an
Langues
Anglais
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.

Keywords

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