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Forecasting daily time series using periodic unobserved components time series models

Koopman, Siem Jan; Ooms, Marius - 2004

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

Chapter 7 Forecasting with Unobserved Components Time Series Models

Harvey, Andrew - In: Handbook of economic forecasting : Band 1, (pp. 327-412). 2006

Structural time series models are formulated in terms of components, such as trends, seasonals and cycles, that have a direct interpretation. As well as providing a framework for time series decomposition by signal extraction, they can be used for forecasting and for ‘nowcasting’. The...

Persistent link: https://www.econbiz.de/10014023699

A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series

Webel, Karsten - 2022

Infra-monthly time series have increasingly appeared on the radar of official statistics in recent years, mostly as a consequence of a general digital transformation process and the outbreak of the COVID-19 pandemic in 2020. Many of those series are seasonal and thus in need for seasonal...

Persistent link: https://www.econbiz.de/10013336397

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - In: Handbook of economic forecasting : Band 1, (pp. 659-711). 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

Persistence and seasonality in the US industrial production index

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2023

values) are taken, evidence of seasonality is obtained; more specifically, deterministic seasonality is rejected in favour of …

Persistent link: https://www.econbiz.de/10014427486

Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting

Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132

demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non …

Persistent link: https://www.econbiz.de/10009762132

Modelling seasonalities in nonlinear inflation rates using SEASETARs

Gooijer, Jan G. de; Vidiella-i-Anguera, Antoni - 2000

) 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

Revisions in concurrent seasonal adjustments of daily and weekly economic time series

Webel, Karsten - 2025

The COVID-19 outbreak in 2020 has fostered in many countries the development of new weekly economic indices for the timely tracking of pandemic-related turmoils and other forms of rapid economic changes. Such indices often utilise information from daily and weekly economic time series that...

Persistent link: https://www.econbiz.de/10015373330

Seasonality with Trend and Cycle Interactions in Unobserved Components Models

Koopman, Siem Jan - 2008

Unobserved components time series models decompose a time series into a trend, a season, a cycle, an irregular disturbance, and possibly other components. These models have been successfully applied to many economic time series. The standard assumption of a linear model, often appropriate after...

Persistent link: https://www.econbiz.de/10012724783

Seasonal Adjustment of Daily Time Series

Ollech, Daniel - 2019

Currently, the methods used by producers of official statistics do not facilitate the seasonal and calendar adjustment of daily time series, even though an increasing number of series with daily observations are available. The aim of this paper is the development of a procedure to estimate and...

Persistent link: https://www.econbiz.de/10012897682