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Moving Trading Day Adjustment

It has long been understood that trading day variations within months can represent a very significant proportion of the movement in many time series, and that being entirely calendar related, these effects should be removed as part of our standard seasonal adjustment procedure.

One of the major difficulties in accounting for trading day effects is that they are not static and vary considerably through time. For example, as Sunday trading has become more popular over the span of the last few decades, a portion of trading activity has shifted to Sunday from the other days of the week. An improvement to the standard X11 static trading day regression was made by the Time Series Analysis section and the technique has been implemented in the ABS's seasonal adjustment package SEASABS since 1998. SEASABS allows the estimated daily weights to vary over time by performing multiple trading day regressions on sub-spans of the data. The daily weights are smoothed so that appropriate moving daily weight estimates are available for every year in the data span. This leads to substantial improvements in our seasonally adjusted estimates over those estimated using a static trading day adjustment.

The ABS treatment of Moving Trading Day is unique among National Statistical Organisations (NSOs), compared with the current standard treatment of estimating Trading Day variation as a constant (simple average) effect over the analysed span of a time series. Other NSOs have recently expressed interest in the ABS approach. In response to this interest, the Time Series Analysis Section is preparing a research paper on this topic, based on earlier unpublished work. Additionally, we are currently working on further improvements that will keep the ABS at the forefront of research in this area.

The research paper Trading Day Adjustments in SEASABS will be released in early 2015.

Further Information
For more information, please contact Lujuan Chen (02 6252 6342, lujuan.chen@abs.gov.au) or Jonathan Campbell (08 9360 5383, jonathan.campbell@abs.gov.au).

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