The aim of the paper is to obtain a relaible indicator of the level and growth rate of an economic variable, when there is a trend break. This is a frequent phenomenon and has implications for short-term analysis and forecasting, besides rendering more difficult signal extraction. We propose a...

The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area...

We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...

In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non-linear multivariate specification (one-step approach)...

In the analysis of time series, it is frequent to classify perturbations as Additive Outliers (AO), Innovative Outliers (IO), Level Shift (LS) outliers or Transitory Change (TC) outliers. In this paper, a new outlier type, the Seasonal Level Shift (SLS), is introduced in order to complete the...