We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and Germany. We apply two methods for the estimation of the cyclical components from the data: the approach based on the structural time series models and the ARIMA-model-based approach...

This article proposes a new multivariate method to construct business cycle indicators. The method is based on a decomposition into trend-cycle and irregular. To derive the cycle, a multivariate band-pass filter is applied to the estimated trend-cycle. The whole procedure is fully model-based....

Este documento detalla, paso a paso, una manera simple y eficiente de construir el fichero de entrada de los programas TRAMO (Time Series Regression with ARIMA Noise Missing Observations and Outliers) y SEATS (Signal Extraction in ARIMA Time Series) para todos los posibles casos y aplicaciones....

Este trabajo trata sobre desestacionalizacion y estimacion de la tendencia de una serie temporal como un problema de extraccion de señales en una estructura basada en modelos de regresion ARIMA. Esta estructura incluye la capacidad de preajustar las series eliminando las observaciones atipicas...

Este trabajo presenta una metodologia unificada para modelizar automaticamente series temporales. En primer lugar, se revisan los modelos ARIMA y los metodos clasicos para ajustar estos modelos a una serie temporal dada. En segundo lugar, se consideran algunos metodos objetivos para identificar...

La estimacion optima de valores ausentes en modelos estacionarios ARIMA se realiza tipicamente utilizando el filtro de Kalman para el calculo de la verosimilitud, saltando las observaciones para las que no hay valores, obteniendo los estimadores maximo-verosimiles de los parametros del modelo y...

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and Germany. We apply two methods for the estimation of the cyclical components from the data: the approach based on the structural time series models and the ARIMA-model-based approach...

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...