Compilation of ITGS indices: New method implemented in DenmarkAnette Hertz, Head of section, Statistics Denmark (ahz@dst.dk)

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Why interested in a new method Looking for ways to improve the indices A description of the new index compilation system The old vs the new index What is next?

Agenda

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Lack of documentation of the old system The system has had a sort of black box character The accuracy of the index have been questioned by

our users

Why interested in a new method

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We wish to reduce volatility and “know” our compilation system

Index calculation on more homogenous groups will reduce volatility

Inspired by our Finnish collegues we decided to use company level data

That is we do outlier detection at PSI level as well as the index computations

Looking for ways to improve the indices

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All records with a value=1 CN codes in chapter 98 and 99 Industrial plants, vessels and aircrafts CN codes with supplementary units:

- Kg 90% sdt, kg/net eda, kg P2O5, kg NAOH, kg KOH, kg N, kg K2O, kg H2O2, GBq, gi F/S, ce/el, kg met.am., kg C5H1

Exemptions from the indices

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We calculate how suspicious each record is, just as in our regular error detection, except we do it at the unit value level only

With country and without country

Outlier detection

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Just as in the old system we calculate a chained fisher index

The base index is found using this formula , where and . is unit value and is quantity.

Chained fisher index

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The total index for a given level i (eg. CN8, SITC or total) is given by

Where and is the goods in group i’s share of the total value the previous year

Chaining then is performed by

From base index to total index and chaining

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We plan to flag certain observations that must be further investigated. We can temporarily exclude either:

- PSI- PSI, CN8- PSI, Country- PSI, CN8, Country

Decomposition: ) Where is the weight of the underlying index, is the overlying

index the respective period relative to the overlying index in the baseyear (2005=100).

is the underlying index relative to the underlying index for the baseyear

is the underlying index, for the previous period, relative to the underlying index for the baseyear

Handling volatile indices

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The old index series started in 1995, the new will start in 2005

Indices at flow*CN*PSI*country instead of flow*CN*country

A separate outlier detection at micro data level Published total indices as well as 1- and 2-digit

SITC, also 3-digit SITC for certain groups as opposed to BEC and KONJ

We can exclude observations from the indices until they have been verified

The old vs the new index

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Calculation of terms of trade Integrate the validation of extreme outliers in the

clerical workers daily tasks New system hopefully in production from November

2014

What is next?

Thank you for your attention

Questions?