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

Bikker Reinier (), Jan van den Brakel (), Krieg Sabine (), Ouwehand Pim () and Ronald van der Stegen ()
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Bikker Reinier: Statistics Netherlands, P.O. Box 4481, 6401CZHeerlen, The Netherlands.
Jan van den Brakel: Statistics Netherlands, P.O. Box 4481, 6401CZHeerlen, The Netherlands.
Krieg Sabine: Statistics Netherlands, P.O. Box 4481, 6401CZHeerlen, The Netherlands.
Ouwehand Pim: Statistics Netherlands, P.O. Box 4481, 6401CZHeerlen, The Netherlands.
Ronald van der Stegen: Statistics Netherlands, P.O. Box 4481, 6401CZHeerlen, The Netherlands.

Journal of Official Statistics, 2019, vol. 35, issue 1, 9-30

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: Seasonal adjustment; discrepancies; Kalman filter; multivariate structural time series models; X-13ARIMA-SEATS; benchmarking (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:offsta:v:35:y:2019:i:1:p:9-30:n:2

DOI: 10.2478/jos-2019-0002

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