Showing 1 - 10 of 1,567
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...
Persistent link: https://www.econbiz.de/10011342560
) nonlinearityand seasonality simultaneously. The model is termed multiplicativeseasonal SETAR (SEASETAR). It can be viewed as a special … multiplicative constraints in non-multiplicative SETARmodels.These statistics form the basis of a new seasonality-test. We …
Persistent link: https://www.econbiz.de/10011304390
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...
Persistent link: https://www.econbiz.de/10010798301
In this paper, we analyse anew the relationship between aggregate income and consumption in the United Kingdom. Our analysis entails a close examination of the structure of the data, for which we employ a variety of spectral methods which depend on the concepts of Fourier analysis. We discover...
Persistent link: https://www.econbiz.de/10014122074
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...
Persistent link: https://www.econbiz.de/10011514105
This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...
Persistent link: https://www.econbiz.de/10011350384
smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated …-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality …
Persistent link: https://www.econbiz.de/10011411344
We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality … out at the end of the article. -- Long memory ; Deterministic seasonality ; Seasonal fractional integration …
Persistent link: https://www.econbiz.de/10009612017
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...
Persistent link: https://www.econbiz.de/10010440442
smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated …-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality …
Persistent link: https://www.econbiz.de/10013007161