Macroeconomic Imbalances Procedure

1. MIP: ANALYSIS OF METADATA
AND DATA REVISIONS
Item 11.5
DMES 12-13 December 2013
Presented by Dario Buono (Eurostat, MIP team)

2. Topics
Safebook for MIP metadata
Analysis of revisions of MIP scoreboards
2

3. What for?
• The big question:
• What about the quality of the MIP indicators?
• The small question:
• How safe are the MIP indicators?
Our Response
3

4. Some insights:
Expert Opinion poll is not a survey:
• No sampling
• Assumption that the respondents are the real experts
• Likelihood and impact
• 166 answers in 2 weeks
Results:
• By country (about 2/3 of the 28 Member States)
• By indicator (11 headlines)
4

5. Likelihood Analysis
1. Impact factor weighting
2. Computing the total score
3. Normalization (64<=x<=256)
4. Computing the uncertainty (percentage)
5. Computing the safe probability (equivalent to 1
minus the uncertainty)
5

6. Results
• Interesting relevant findings for:
• Deflated House Price
• Financial Accounts
• Balance of Payment
• Unit Labour Cost
• Government Debt
 Croatia
6

7. Analysis of revision of MIP
scoreboards
• Small revisions, likely to bring in noise rather than
news
• Large revisions, likely to bring in news rather than
noise
• Policy: Never revise data. In this case you have
neither news nor noise
7

8. Vintages
• 2 vintages, 1 set of revisions
• MIP headline data
• Last 5 years (2007-2011)
8

9. Radar of
revisions
9

10. Background references
• ESS guidelines on revisions
http://epp.eurostat.ec.europa.eu/cache/ITY_OFFPUB/KS-RA-13-
016/EN/KS-RA-13-016-EN.PDF
• OECD/Eurostat Task Force on “Performing Revisions
Analysis for Sub-Annual Economic Statistics”
• http://www.oecd.org/std/40315546.pdf
1. Basic/ core measures: targeting users that require quick, easy to
understand information
2. Additional/ advanced measures: targeting users that require more in-
depth analysis
3. Sophisticated / special user measures: information for detailed
research purposes.
10

11. Summary of statistics to be used
for analysis of revisions (1)
1. Mean absolute revision
2. Median absolute revision
3. Arithmetic average or mean revision
4. Statistical significance of the mean revision
5. Median revision:
6. % of positive revisions:
7. % of negative revisions:
8. % of zero revisions:
9. Adjusted t-statistic for significance of mean revision
10.Critical values of t statistic for significance of mean revision
11.Standard deviation of revision
12.Root mean square revision
13.Quartile deviation
11

12. Summary of statistics to be used
for analysis of revisions (2)
14.Minimum revision
15.Maximum revision
16.Range of revision
17.Skewness
18.% sign (later) = sign (earlier):
19.Acceleration / deceleration
20.Relative mean absolute revision:
21.Average absolute value of first published estimate
22.Correlation between revision and earlier estimate (test if revisions are
„noise )‟
23.Correlation between revision and later estimate (test if revisions are
„news )‟
24.Serial correlation of revisions:
25.Decomposition of the Mean Squared Revision 12

13. Dynamics of Standard deviation
within MS of 11 MIP headlines
13

14. Dynamics of Standard deviation
within MS of 8 MIP headlines
14

15. MAX and MIN revisions of 2011
data by individual Member State
Revisions of 2011 data upward downward
Current account (as %of GDP) SK CY
Net international investment positions (as %of GDP) LU FI
Share of world exports CZ DE
Real effective exchange rates (REER) NA NA
Unit labour cost RO LU
Private debt (as %of GDP) UK LU
Private credit flow (as %of GDP) IE EE
Deflated house price index EL RO
Government sector debt (as %of GDP) IE RO
Financial sector liabilities NL LU
Unemployment NA IE
15

16. Open discussion: the way forward
• Safebook:
• consistent results with robust methodology (fine
tuning of questions)
• Further involvement of ESTAT domain managers
and ESS experts
• Revision analysis done using:
• different stats
• more vintages
• higher frequencies
16

17. Time for questions
17