MEFMI CONDUCTS IN-COUNTRY MISSION ON SEASONAL ADJUSTMENT OF TIME SERIES DATA FOR THE CENTRAL BANK OF LESOTHO

MEFMI conducted an in-country technical assistance mission for the Central Bank of Lesotho (CBL) from 27 to 29 July 2016. The objective of the mission was to capacitate the Research Department of the CBL on Seasonal Adjustment techniques for time series data for the four (4) macroeconomic accounts (i.e. National Accounts, Statement of Government Operations, Balance of Payments and Monetary Statistics).  A team of 16 officials from CBL attended the activity to receive the Technical Assistance.

The mode of delivery during this three (3) day capacity building activity was done through a combination of short lectures, discussions and hands-on, step-by-step practical exercises using the Lesotho data. The lectures focused on the following key aspects:

• Overview of Seasonal Adjustment;

• Time Series Composition;

• Causes of Seasonality;

• Uses of Seasonally-Adjusted Data; and

• Outlier Detection.

Participants were also taken through the differences between the commonly used measures of Seasonal Adjustment, namely the X-13 Autoregressive Integrated Moving Average (ARIMA); Time Series Regression with ARIMA Noise; Missing Observations; Outliers (TRAMO); and Signal Extraction in ARIMA Time Series (SEATS), both commonly referred to as TRAMO/SEATS. In addition, the participants were also introduced to the JDemetra+ software, which is used for Seasonal Adjustment.

The main outputs from the mission

1. Produced Seasonal Adjusted macroeconomic time series for the four (4) macroeconomic times series data (i.e. National Accounts, Balance of Payments, Government Financial Statistics and Monetary and Financial Statistics).

2. The Research Department is now equipped with technical skills on the use of seasonal adjustment software (JDemetra+).

3. The CBL will start publishing seasonally adjusted macroeconomic data. It is envisaged that this will go a long way in enhancing policy making and analysis.

The MEFMI mission team members were Ms. Adel Bosch (South African Reserve Bank); Dr. Sehliselo Mpofu (Director – MEFMI Macroeconomic Management Programme) and Mr. Sayed Timuno (Programme Manager – MEFMI Macroeconomic Management Programme).

The MEFMI team will explore possibilities of conducting similar in country activities in the region.