Seasonal adjustment of key series - Institutional sector accounts

Seasonal adjustment of key series

Set of seasonally adjusted data

In its news release and in the data dissemination tree, Eurostat publishes seasonally adjusted data, corrected for calendar effects, for the euro area and the European Union, with respect to the following "key indicators":

  • Gross household saving rate (defined as gross saving divided by gross disposable income adjusted for D8net*);
  • Gross investment rate of households (defined as gross fixed capital formation divided by gross disposable income adjusted for D8net*);
  • Gross investment rate of non-financial corporations (defined as gross fixed capital formation divided by gross value added);
  • Profit share of non-financial corporations (defined as gross operating surplus divided by gross value added);
  • Household real income per capita (defined as the adjusted gross disposable income, in nominal terms, divided by the total population and by the deflator of household final consumption expenditure);
  • Household real consumption per capita (defined as actual final consumption expenditure, in nominal terms, divided by the total population and by the deflator of household final consumption expenditure).

Non-profit institutions serving households (NPISHs) have been included in the household sector.

In addition, a larger set of time series, including the components of the key indicators, are published in seasonally adjusted terms for the euro area and, in case of household and non-financial corporation sectors, for the European Union:

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  • Final consumption expenditure of households (P3)
  • Individual consumption expenditure of households (P31)**
  • Actual final consumption of households (P4)**
  • Compensation of employees received by households (D1rec)
  • Compensation of employees paid by households (D1pay)
  • Compensation of employees and Net social contributions (recv-paid) of households (D1_D61NET)**
  • Gross operating surplus and gross mixed income of households (B2AB3G)
  • Other taxes less other subsidies on production of households (D29X39)**
  • Property income paid by households (D4pay)
  • Other current transfers paid by households (D7pay)
  • Other current transfers received by households (D7rec)
  • Property income received by households (D4rec)**
  • Interests received by households (D41rec)
  • Property income other than interests received by households (D4Nrec)
  • Property income and Other current transfers of households (D4_D7)**
  • Net social contributions (rec-pay) of households (D61net)
  • Net social benefits (rec-pay) of households (D62net)
  • Net social transfers in kind (rec-pay) of households (D63net)
  • Net adjustment for the change in pension entitlements (rec-pay) of households (D8net)
  • Current taxes on income, wealth, etc. paid by households (D5pay)
  • Capital transfers received by households (D9rec)
  • Capital transfers paid by households (D9pay)
  • Acquisitions less disposals of non-produced assets of households (NP)
  • Gross capital formation of households (P5G)**
  • Gross fixed capital formation of households (P51G)
  • Change in inventories and acquisitions less disposals of valuables of households (P52_P53)
  • Gross value added of households (B1G)
  • Gross balance of primary income of households (B5G)**
  • Gross disposable income of households (B6G)**
  • Gross adjusted disposable income of households (B7G)**
  • Gross savings of households (B8G)**
  • Net lending / borrowing of households (B9)**
  • Gross value added of non-financial corporations (B1G)
  • Gross capital formation of non-financial corporations (P5G)**
  • Gross fixed capital formation of non-financial corporations (P51G)
  • Changes in inventories and acquisitions less disposals of valuables of non-financial corporations (P52_P53)
  • Compensation of employees paid by non-financial corporations (D1pay)
  • Other taxes on production paid by non-financial corporations (D29pay)
  • Other subsidies on production received by non-financial corporations (D39rec)
  • Other taxes less other subsidies on production of non-financial corporations (D29X39)**
  • Property income received by non-financial corporations (D4rec)**
  • Interests received by non-financial corporations (D41rec)
  • Property income other than interests received by non-financial corporations (D4Nrec)
  • Property income paid by non-financial corporations (D4pay)**
  • Interests paid by non-financial corporations (D41pay)
  • Property income other than interests paid by non-financial corporations (D4Npay)
  • Current taxes on income, wealth, etc. paid by non-financial corporations (D5pay)
  • Net social contributions received by non-financial corporations (D61rec)
  • Social benefits other than social transfers in kind paid by non-financial corporations (D62pay)
  • Other current transfers paid by non-financial corporations (D7pay)
  • Other current transfers received by non-financial corporations (D7rec)
  • Adjustment for the change in pension entitlements paid by non-financial corporations (D8pay)
  • Capital transfers received by non-financial corporations (D9rec)
  • Capital transfers paid by non-financial corporations (D9pay)
  • Gross balance of primary income of non-financial corporations (B5G)**
  • Gross disposable income of non-financial corporations (B6G)**
  • Gross savings of non-financial corporations (B8G)**
  • Net lending / borrowing of non-financial corporations (B9)**
  • Gross capital formation of financial corporations (P5G)**
  • Gross fixed capital formation of financial corporations (P51G)
  • Changes in inventories and acquisitions less disposals of valuables of financial corporations (P52_P53)
  • Exports of goods and services for the total economy (P6)**
  • Exports of goods for the total economy (P61)
  • Exports of services for the total economy (P62)
  • Imports of goods and services for the total economy (P7)**
  • Imports of goods for the total economy (P71)
  • Imports of services for the total economy (P72)

The corresponding time series in Excel format are available in the dissemination tree.

* Net adjustment for the change in pension entitlements (rec-pay)

** The seasonally adjusted figures for these transactions have been obtained indirectly

Methodology

The methodology adopted in Sector Accounts follows the ESS guidelines on Seasonal Adjustment endorsed by the European Statistical System in 2015. The method chosen to correct the series for seasonal and calendar effects is TramoSeats, as implemented in JDemetra+ software.

1. Direct and indirect approach

Euro area

The seasonally adjusted euro area key indicators are obtained indirectly by taking into account the component series. These component series are first seasonally adjusted and then aggregated in order to obtain indirect seasonally adjusted key indicators. This provides an extended and consistent set of seasonally adjusted variables for the euro area.

European Union

Similarly to the Euro area, the seasonally adjusted key indicators for the European Union are obtained indirectly by taking into account the component series. The component series of the European Union are first seasonally adjusted and then aggregated in order to obtain indirect seasonally adjusted key indicators.

The European Union component series are not published in seasonally adjusted terms, as they may be impacted by exchange rate fluctuations. However, the latter have hardly any impact on ratios such as the key indicators mentioned above as the variations in the numerator and the denominator broadly cancel out.

2. Pre-treatments

The main objective of the pre-treatment of the series is to ensure a reliable estimation of the seasonal component by detecting and correcting the series for outliers and/or components which could hamper the estimation of the seasonality.

Decomposition model

An automatic decomposition scheme selection is used with information criteria after graphical inspection of the series. Special investigations are done for non-positive series. A manual selection is used for more problematic series.

Outliers detection and correction

Tramo detects three kinds of outliers: additive outliers (AO), transitory change (TC) and level shift (LS). An additive outlier consists of a single point jump in the data; a temporary change in a single point jump followed by a smooth return to the original path while a level shift is a permanent change in the level of the series. It is also possible to model a ramp effect (a linear increase or decrease in the level of the series over a specified time interval). Each detected outlier is assessed according to its economic rationale.

Calendar adjustment

A specific euro area/EU calendar has been compiled for quarterly sector accounts. Given the economic rationale, only one regressor has been used to test the presence of a working day effect. A working day correction has been implemented in the final model provided (1) it was statistically significant and (2) it had an economic rationale.

The presence of an Easter effect has been tested and assessed according to its economic rationale.

3. Seasonal adjustment method and policy

The method chosen to seasonally adjust the series is Seats as implemented in JDemetra+ software.

The models are revised once a year, normally in the October production round. ARIMA and regression coefficients are updated each quarterly release (partial current adjustment). Under special circumstances, such as a sudden economic slowdown, seasonal factors may be frozen until changes can be properly modelled (controlled current adjustment).

4. Parameters and statistical tests

The file below provides the metadata for the production of 2021Q1 seasonally adjusted time series: Parameters 2021Q1.