oecd short-term economic statistics working partyjune 26-28 2006 establishing guidelines for...
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Establishing guidelines for creating long time series for short-term
economic statistics
Richard McKenzie OECD
OECD Short Term Economic Statistics Working Party
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Current methods used for linking and backcasting the IIP
• Given differing lengths of time series & the lack of international guidelines OECD had concern over the consistency of practices across countries
• Initial analysis based on metadata reported to OECD, IMF and Eurostat is that a large variety of methods are used and terminology is not consistent or well understood
• Concerns for comparability of data, and many versions of full historical series most likely exist
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Differences in published series length
Length of time series for Industrial Production
Countries
Starts before 1980 United States, Australia, Turkey, United Kingdom
Starts between 1980:1989 Canada, Mexico, New Zealand, Norway,
Starts between 1990: 1994 Korea, Belgium, Finland, France, Germany, Ireland, Italy, Spain, Sweden, Switzerland
Starts between 1995: 1999 Japan, Austria, Hungary, Netherlands, Poland, Slovak Republic, Greece
Starts on or after 2000 Czech Republic, Denmark, Luxembourg, Portugal
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Brief review of OECD countries linking practices for IIP
• On basis of available metadata:
– 16 reported the use of chain linking using a variety of methods (10 annual, 6 five yearly);
– 5 reported Laspeyres index with base year 2000 weights and time series starting in 2000 (i.e. true Laspeyres)
– 6 reported Laspeyres index with base year 2000 weights but time series starting before 2000 (i.e. this is not a true Laspeyres index but a simple fixed weight index)
– 2 reported the use of some other method
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Policy and practices for producing long time series
• Differs a lot between EU and non EU countries (reflected in time series length)
• Not much reference to user needs, number of references to EU regulation
• Bank of Italy comment seemed representative of user needs as viewed by OECD:
– Importance of reliable long time series for STES …… for a full appraisal of business cycle both in historical perspective and for forecasting purposes
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Common themes in comments
• Backcasting is resource intensive
– Especially when classifications change
– US Retail trade presentation is a good example of the detailed work involved just to produce data back to 1992 (OECD linked index at aggregate level goes back to 1959)
• Changes in classification / methodology mean that historical series on old basis no longer relevant / cannot be made comparable
• Regulations in EU seen as a proxy for user needs?
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
User needs
• Had comments from Bank of Italy stressing the importance for empirical analysis
• OECD Economics Department demands longest time series as possible for their empirical analysis
– Hence the policy of the Statistics Directorate as supplier
– If we don’t provide the data, ECO do their own linking
• ECB have remarked on the important of data from the Main Economic Indicators (compared to New Cronos) because of the longer time series …
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
User needs
• Analytical users need long time series – if the NSO doesn’t provide them they will source them from someone who does or recreate their own
– Regardless of methodological issues or costs to NSOs
• Multiple versions of historical series exist, using different methodologies for backcasting / linking
– Lack of knowledge of good practices (e.g. linking methodology: first common period, first common year), lack of knowledge of methodology of different segments of old series
– Impact on seasonal adjusted series needs careful examination (change in seasonal factors between versions)
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
User needs
• Is the National Statistical Office (or compiling authority) best placed to create one official version of longest time series possible?
– If not them, then who is?
• Could a distinction be made between backcasting at a detailed level and at an aggregate level?
– How to define the aggregate level?
– What are the real user needs?
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Guidelines on backcasting and linking
• Nothing comprehensive exists for short-term statistics
– IMF manual for quarterly national accounts
– PPI manual
• Eurostat Methodology of short-term business statistics
– Most comprehensive source for STES but guidelines for backcasting / linking need more detail and examples (no EU country uses the method recommended in the current guidelines)
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Guidelines on backcasting and linking
• About half countries commented on importance of STESWP establishing recommendations
– Many commented on the need for this to be done in conjunction with Eurostat, who have already established some task forces for NACE implementation
• How to represent the interests / needs of non EU countries
– Especially those also planning the introduction of new classification systems in the coming years
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Eurostat task force on NACE implementation
• Producing a handbook on back-casting> Questionnaire
> 3 methods
: Detailed working on micro data: FR, NL, Estat-B5
: Proportion methods: STS(Estat-D3), AT, DE, UK
: Extrapolation between bench markings: €ind(Estat-D1), ?
> First draft mid September 2006 – TF meeting Sep 21st
> Handbook November 2006 on the website
• Detailed application of handbook to short-term statistics – Proposal to WG in December 2006 following release of first draft
of handbook
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Possible scope of guidelines• Terminology (goal to have harmonised metadata)
• Index types, advantages and disadvantages and frequency of weighting updates – define preferred, alternative, poor practices
• Linking methods, advantages and disadvantages, interaction with seasonally adjusted series (issue for SA handbook?)
• Backcasting in conjunction with classification changes
– Possible distinction between detailed and aggregate levels, where goal at aggregate levels is longest time series possible
• Consistency in practices across set of related indicators and range of short-term economic statistics
• Assessment of user needs (how to focus this?)
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OECD Short-Term Economic Statistics Working PartyJune 26-28 2006
Discussion points
• Scope of proposed guidelines, do they cover the correct issues
– Should STESWP get involved in this work, how should it be co-ordinated with Eurostat, who wants to be involved …
• Is STESWP an appropriate forum for discussing policy on the production of long time series
– Can we have any influence on national practices?
• General discussion on the role of NSOs for compiling long time series given wide range of comments on the paper
– Interested to hear Eurostat views and especially the views of user organisations present at this meeting