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3-5 May 2011 Introduction to Seasonal Adjustment and DEMETRA+

Now availible a revised version of the slides of Day One, Day Two and Day Three.

ESTP course:

"Seasonal Adjustment and Demetra+"

Agenda

Location

Eurostat , Luxembourg, 3 to 5 May 2011, Room A2/45

Course organizers

Dario Buono (Eurostat , Unit B2 Methodology and Research)

Lecturers

Dario Buono (Eurostat , Unit B2 Methodology and Research)

Enrico Infante (Eurostat , Unit B2 Methodology and Research)

Logistics

Crista Filip (Eurostat , Unit A3 Training)

Enrico Infante (Eurostat , Unit B2 Methodology and Research)

Required Reading

Any university text book of Statistics with a chapter on Time Series

Suggested Readings

  • Diana Wyman, Stats Canada, Seasonal Adjustment and identifying economic trends, available here
  • Eurostat , ESS guidelines on Seasonal Adjustment available here
  • Brockwell P. J. – Davis R. A. (2002), Introduction to Time Series and forecasting, Springer, New York

3 of May, Tuesday

   

9.30-9.45

Presentation of the course, tour de table (by Museux, Filip, Buono)

   

9.45-11.00

Brief review of Time Series analysis, Seasonality and its determinants, Decomposition models, Exploration (basic tools)

   

11.00-11.15

coffee-break

   

11.15-12.30

Exploration (advanced tools), Why Seasonal and Calendar Adjustment? Step by step procedures for Seasonal Adjustment

   

12.30-14.00

Lunch break

   

14.00-15.15

Using Demetra+: getting familiar

   

15.15-15.30

coffee-break

   

15.30-16.15

Using Demetra+: first results

   

16.15-16.30

Question time for face-to face discussion with the trainer

   

4 of May, Wednesday

   

9.30-11.00

Identification of type of outliers (additive, transitory change, level shift), Calendar Effect and its determinants (trading days)

   

11.00-11.15

coffee-break

   

11.15-12.30

Calendar effect and its components (moving holidays), Moving Averages, X-12 ARIMA and TRAMO/SEATS

   

12.30-14.00

Lunch break

   

14.00-15.15

Using Demetra+: outliers and calendar adjustment

   

15.15-15.30

coffee-break

   

15.30-16.15

Using Demetra+: full exercise

   

16.15-16.30

Question time for face-to face discussion with the trainer

   

Evening

Social event: optional course dinner

   

5 of May, Thursday

   

9.30-11.00

ESS guidelines on Seasonal Adjustment: review

   

11.00-11.15

coffee-break

   

11.15-12.30

ESS guidelines on Seasonal Adjustment: practical implementation

   

12.30-14.00

Lunch break

   

14.00-15.30

Using Demetra+: show and tell exercise by the participants

   

15.30-15.45

coffee-break

   

15.45-16.30

Conclusions and evaluation of the course (Filip, Buono)