ESTIMATION OF SEASONAL FACTORS FOR A SHORT TIME SPAN USING MULTI-LEVEL MODELLING
The Australian Bureau of Statistics (ABS) is continually improving the source and methods of ABS surveys. Methodological changes to the source or method of a survey can impact on the original survey estimates and time series estimates, (ie. the trend and seasonally adjusted estimates).
To assess the impact of the change of survey, a parallel survey original estimate can be calculated using data collected from the old and the new survey for one or more overlapping time periods. The number of overlapping time periods is typically short due to cost constraints. It is desirable to assist users by calculating time series estimates for the new survey but traditional seasonal adjustment methods cannot adequately calculate time series estimates for short time series.
The Time Series Analysis section has developed an approach for estimating seasonal factors for short spans of time series data. A realistic assumption is that the new survey is measuring the same underlying activity as the old survey which means that the trend movement is the same but may be at a different trend level. The seasonal factors are assumed to be different for different surveys. This information, over a number of lower level series, is used in multi-level modelling to test the seasonal factor differences between the old and new survey data over the overlapping time periods and produce seasonal factors for the new survey time series at an aggregate level.
This method has been applied to test and produce seasonal factors for the private sector gross earning component from the Quarterly Economy Activity Survey (Catalogue: 5676.0) which is the replacement of the Survey of Employment and Earnings (Catalogue: 6248.0) using four parallel quarter estimates over 2001. The result has been used in the compilation of the National Accounts.
This research will continue to be investigated by The University of Wollongong in collaboration with the ABS.
For more information, please contact Craig McLaren (02) 6252 6540 or Mark Zhang (02) 6252 5132.
Email: craig.mclaren@abs.gov.au, mark.zhang@abs.gov.au
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