Verification of Provisional Outlier for Seasonal Adjustment in Quarterly Estimates of GDP

DOI

Bibliographic Information

Other Title
  • 四半期別GDP速報の季節調整における暫定的な異常値処理方法の検証

Abstract

Seasonally adjusted series of Gross Domestic Product (GDP) and its breakdown are revised retrospectively for the entire period every time Quarterly Estimates of GDP (QE) is released, since the seasonal adjustment is conducted with the latest estimates of original series updated. With respect to such revisions, when some enormous economic shock occurs, it has been indicated that the failure to apply a provisional outlier at the preliminary stage can lead to continuous revisions of past growth rates each time subsequent QE is released. Therefore, in this paper, we will focus on two periods: (A) the financial crisis triggered by the collapse of Lehman Brothers and the subsequent recovery period (January-March 2008 to July-September 2009), and (B) the period in which the impact of the enormous economic shock seems to be less significant (January-March 2017 to July-September 2018), we examined whether setting a provisional outlier at the preliminary stage, without waiting for the annual estimates, would suppress revisions to past figures. It is expected that this verification will help to prevent excessive revision of past figures caused by seasonal adjustment and improve the accuracy of the preliminary estimates.

Journal

Keywords

Details 詳細情報について

Report a problem

Back to top