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Backcasting Time Series During 2008 SNA / ANZSIC 06 Implementation
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Transcript of Backcasting Time Series During 2008 SNA / ANZSIC 06 Implementation
Backcasting Time Series
During 2008 SNA / ANZSIC 06 Implementation
Michael Davies,
Division Head,
Macroeconomic Statistics Division,
Australian Bureau of Statistics
September 20141
2008 SNA / ANZSIC 06 backcasting
• Implementation of 2008 SNA and ANZSIC 06 – a fundamental reworking of the Australian National Accounts
• Annual benchmark series backcast from 1994-95 to 2007-08
• Annual series backcast from 1959-60 to 1993-94
• Quarterly series backcast from September quarter 1959 to June quarter 2009
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Challenges (1)
• The new industry classification system is fundamentally different to the previous industry classifications
• Starting periods for national accounts series across individual components and underlying data sources vary significantly
• Historical series are divided into two periods:• ‘Live’ compilation period – in which time series can be
recalculated in response to changes in standards & classifications;
• Maintained compilation period – in which no detailed data available making impossible to ensure changes in standards & classifications are represented
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Challenges (2)
• Most input data series were not available for the full time period (only capital expenditure data went back to 1959-60)
• There was often little information available for constructing historic estimates for new series such as R&D
• There were significant breaks and inconsistencies between historical series and new series
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Backcasting & Splicing Principles
• Backcasting involves removing breaks in series between ‘live’ and ‘maintained’ periods in national accounts
• Converting growth levels of historical series into those comparable with that for new estimates while keeping growth rates of the former intact
• The following splicing principles were adopted• Undertaking splicing at lowest feasible level• The results should be economically plausible
• No unusual seasonal variation at the splicing point
• Pragmatic approach for extrapolating time series in ‘maintained’ periods in case of no historical data
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Bridging
• Bridging involves converting historical data in old industry classifications into series in new industry classifications
• This is done using known relationships between series in a common period (“bridging factors”) to extrapolate time series in new industry standards in ‘maintained’ periods
• Bridging factors are calculated over several time periods to remove influence of short-term volatility
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Managing the backcasting process
• Closely managing the incorporation of backcast data into the national accounts
• Using common techniques as far as possible to help ensure the coherence of the results
• Maintaining flexibility and finding the right balance between backcasting approaches
• Ensuring that the results were plausible and that economic history, particularly quarterly growth rates, did not change unless affected by 2008 SNA implementation (e.g. capitalisation of R&D)
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