Affiliations: National Statistics Institute of Spain (INE), Madrid, España
Correspondence:
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Corresponding author: María Novás, National Statistics Institute of Spain (INE) Avda. Manoteras, 52 28050 Madrid, España. %****␣sji-37-sji210817_temp.tex␣Line␣25␣**** Tel.: +91 583 9341; E-mail: maria.novas.filgueira@ine.es.
Abstract: One of the multiple decisions that statisticians have to face on the release of seasonal and calendar adjusted series, is the revision policy when new data are available. The INE used to apply the policy of Partial Concurrent Adjustment: ARIMA Parameters in JDemetra+, but huge revisions from the beginning of the series were occasionally observed. Analyzing this issue deeply, we realized that revisions were due to two main reasons: model changes because of lack of admissible decomposition, and especially, changes in the autoregressive roots assignment. In this paper, we present the new revision policy applied at the INE, which may be considered a compromise between the Partial Concurrent Adjustment: ARIMA Parameters policy and the Partial Concurrent Adjustment: Fixed Model, both implemented in JDemetra+. This new policy avoids model changes by: (i) fixing the last estimated model with admissible decomposition when a model change is triggered and (ii) adjusting root assignment parameters to make sure autoregressive roots remain in the same component. In doing so, we improve the estimation of the model parameters with the new data, while avoiding big revisions, as shown in the examples.
