We explore a periodic analysis in the context of unobserved components time series models that decompose time series into components of interest such as trend and seasonal. Periodic time series models allow dynamic characteristics to depend on the period of the year, month, week or day. In the...

The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly...

We present a procedure to perform seasonal adjustment over daily sales data. The model adjusts daily information from the Immediate Supply of Information System for Value Added Tax declaration forms compiled by the Spanish Tax Agency. The procedure performs signal extraction and forecasting at...

In this paper we present a methodological proposal of the way integration and cointegration analysis can best be used to test if the level of aggregation of an index is adequate. Using this proposal, we enquire the extent to which a Spanish aggregate farm price index captures the behavior of its...

In this paper, the results of seasonal modeling of Sokoto monthly average temperature have been obtained using seasonal autoregressive integrated moving average modeling approach. Based on this seasonal modeling analysis, we conclude that, the best seasonal model among the models that are...

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...

A couple of recent papers have shifted the focus towards disagreement of professional forecasters. When dealing with survey data that is sampled at a frequency higher than annual and that includes only fixed event forecasts, e.g. expectation of average annual growth rates measures of...