Monthly Unemployment Estimates through

GREG vs STM

Statistics Netherlands

Martijn Souren

Boukje Janssen

Jan van den Brakel

Sabine Krieg

Monthly Unemployment Estimates through

GREG vs STM

Statistics Netherlands

What we do

What we cannot do

What we could do!

What we should do?

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Three months GREG estimates

Monthly Unemployment Estimates through

Three months GREG (What we do)

Statistics Netherlands

Monthly Unemployment Estimates through

Three months GREG (What we do)

Disadvantages:

Real monthly seasonal patterns are smoothed out and thus biased

Structural changes appear delayed

Rigid RGB correction

Advantages:

Large sample size

Statistics Netherlands

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Three months GREG estimates

Monthly Unemployment Estimates through

Three months GREG (What we do)

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly GREG (What we cannot do)

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Monthly CAPTI GREG estimates with standard errors Three months CAPTI GREG estimates

Statistics Netherlands

Disadvantages:

Rigid RGB correction

Large standard errors

Advantages:

Real monthly figures

Monthly Unemployment Estimates through

Monthly GREG (What we cannot do)

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly GREG (What we cannot do)

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Monthly CAPTI GREG estimates

Statistics Netherlands

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Monthly GREG estimates, CAPTI with standard errors

Monthly Unemployment Estimates through

Monthly GREG (What we cannot do)

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly GREG (What we cannot do)

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SE Monthly CAPTI GREG estimates

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly STM (What we could do!)

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SE Monthly CAPTI GREG estimates SE Monthly STM estimates

Statistics Netherlands

Statistics Netherlands

Structural Time Series Modelling:

The population parameter can be decomposed in a trend component, a seasonal component and an irregular component.

Monthly Unemployment Estimates through

Monthly STM (What we could do!)

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly STM (What we could do!)

Structural Time Series Modelling:

Each component can be seperately modelled and interpreted.

Monthly Unemployment Estimates through

Monthly STM (What we could do!)

Statistics Netherlands

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Monthly STM estimates

Monthly Unemployment Estimates through

Monthly STM (What we could do!)

Statistics Netherlands

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Seasonally adjusted monthly STM estimates Monthly STM estimates

Statistics Netherlands

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Seasonally adjusted monthly STM estimates

Monthly Unemployment Estimates through

Monthly STM (What we could do!)

Statistics Netherlands

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Three months GREG estimates Monthly STM estimates

Monthly Unemployment Estimates through

Monthly STM (What we should do?)

Monthly Unemployment Estimates through

Monthly STM (What we should do?)

Advantages:

Real monthly figures

Real monthly seasonal patterns

Better RGB correction

Disadvantages:

...

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly STM (What we should do?)

Implementation:

(Un)employed- and Total Labour Force

7 Domains: Age(3) x Sex(2) and total

Consistency with Lagrange-method

(Un)employment rates calculated afterwards

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly STM (What we should do?)

Thank you for your attention

Statistics Netherlands

Box-Jenkins ARIMA modelling:

Eliminating trend + seasonal effects by taking differences. Assumed is that local statistical properties of the time series is constant over time

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly STM (What we should do?)

Real series are never stationary, time varying regression coefficients and multivariate extensions are easily handled

Aparantly different methods, but historically quite similar

Statistics Netherlands

Monthly Unemployment Estimates through

Monthly STM (What we should do?)