Impact of calendar effects

Anu PeltolaEconomic Statistics Section, UNECE

UNECE Workshop on Seasonal AdjustmentUNECE Workshop on Seasonal Adjustment20 – 23 February 2012, Ankara, Turkey

February 2012 UNECE Statistical Division Slide 2

Overview

Meaning of calendar effects Causes of calendar effects Types of calendar effects Reason for calendar corrections Problematic issues

February 2012 UNECE Statistical Division Slide 3

Calendar Effects

= any economic effect related to the calendar Seasonal component includes two types of

effects: seasonal & calendar related Removed before seasonal adjustment Include:

• number of different days in a month• composition of working and non-working days • moving holidays • leap year effect

Alter the level of activity measured

February 2012 UNECE Statistical Division Slide 4

Causes of Calendar Effects

The rhythms of human activity: • 24-hour rotation of days • Weekly rest• Holiday periods• Traditional behaviour related to the calendar

These social habits and rhythms also cause seasonality• Changes in habits between winter and summer are

not part of calendar effects, but seasonal effects

February 2012 UNECE Statistical Division Slide 5

Calendar Correction

Removes non-seasonal calendar effects from the data, if statistical evidence and economic explanation

Four possibilities:• Trading days (working/non-working, 6 regressors))• National and moving holidays ((provided by the user))• Leap-year• Easter

Demetra+ pre-tests the presence of these effects, if tests are significant: • Using calendar adjustment / calendar correction improves

significantly results!

February 2012 UNECE Statistical Division Slide 6

Working Day Effect

Difference between week/weekend days• Volume of production may be smaller on Saturdays

and Sundays than on weekdays Level of activity is higher if the month contains

more weekdays • Working day effect

Sometimes, the number of weekdays doesn’t affect the level of activity at all, for example, when the factories operate in shifts every day.

February 2012 UNECE Statistical Division Slide 7

Trading Day Effect

= Difference between all days of the week

Means that the level of the measured variable varies depending on the day of the week

Different days have a different weight/ effect on the data

February 2012 UNECE Statistical Division Slide 8

Moving Holidays

= The impact on the series of holidays whose exact timing shifts from year to year

Examples of moving holidays:• Easter • Chinese New Year - where the exact date is

determined by the cycles of the moon• Ramadan

Need to be added by the user to Demetra+

February 2012 UNECE Statistical Division Slide 9

Moving Holidays

Growth rates (April 2008)

from April 2007

from March 2008

Original series 8.1 -

Working day adjusted

5.1 -

Seasonally adjusted

- 1.2

April 2008: +3 working days vs. April 2007• Easter was not in April in 2008

Without any adjustment IPI grew about 8 per cent (April 2008 from April 2007)

If you working day adjust, growth was 5 per cent

February 2012 UNECE Statistical Division Slide 10

National Holidays

Influence the number of working days Country specific historical list of public

holidays and compensation holidays need to be kept

Improve estimates of the calendar component Compensation holiday = additional holidays

sometimes announced if a national holiday falls into the weekend

Need to be added by the user to Demetra+

February 2012 UNECE Statistical Division Slide 11

Leap Year

The leap year adds one day in every four years

The day can be either a working day or it may fall into the weekend

Demetra+ tests for the significance of the leap year effect

February 2012 UNECE Statistical Division Slide 12

Trading/Working Day Adjustment

Aims at a series independent of the composition of days in a month• In the working day adjusted data everyday is equal

Improves quality of seasonal adjustment! Easier to observe the underlying economic

development Should be applied only if these effects are

present Compile, maintain and add national holidays for

better estimates!

February 2012 UNECE Statistical Division Slide 13

Problematic Calendar Issues Changes in regular national holidays

• Abolished holidays – new holidays Regional differences in holiday calendars in a

country Complex set of moving holidays Excessive use of compensation holidays Changing durations of holidays Combining national holidays with pre-defined

calendar corrections “Bridge effect” means that complete the holiday

with the days which are decided by goverment (bonus days)