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A data-driven selection of an appropriate seasonal adjustment approach

Webel, Karsten - 2016

Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...

Persistent link: https://www.econbiz.de/10011452778

Illuminating ARIMA model-based seasonal adjustment with three fundamental seasonal models

Findley, David F.; Lytras, Demetra P.; Maravall … - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 11-52

Our starting place is the first order seasonal autoregressive model. Its series are shown to have canonical model-based decompositions whose finite-sample estimates, filters, and error covariances have simple revealing formulas from basic linear regression.We obtain analogous formulas for...

Persistent link: https://www.econbiz.de/10011458757

Trends cycles and seasons : econometric methods of signal extraction

Pollock, David Stephen G. - In: Econometric reviews 37 (2018) 1/5, pp. 228-246

Persistent link: https://www.econbiz.de/10012038592

Testing for periodic integration with a changing mean

Barrio Castro, Tomás del; Camarero Olivas, Mariam; … - In: Computational economics 54 (2019) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012134081

Forecasting seasonal tourism demand using a multiseries structural time series method

Chen, Jason Li; Li, Gang; Wu, Chenguang; Shen, Shujie - In: Journal of travel research : a quarterly publication of … 58 (2019) 1, pp. 92-103

Persistent link: https://www.econbiz.de/10011982242

Forecasting with a hybrid method utilizing data smoothing, a variation of the Theta method and shrinkage of seasonal factors

Spiliotis, Evangelos; Assimakopoulos, V.; Nikolopoulos, … - In: International journal of production economics 209 (2019), pp. 92-102

Persistent link: https://www.econbiz.de/10012013066

Powerful nonparametric seasonal unit root tests

Eroğlu, Burak Alparslan; Göğebakan, Kemal Çağlar; … - In: Economics letters 167 (2018), pp. 75-80

Persistent link: https://www.econbiz.de/10012015793

Triple filter core inflation : a measure of the inflation trajectory

Ferreira, Pedro Costa; Mattos, Daiane Marcolino de; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 4, pp. 397-411

Persistent link: https://www.econbiz.de/10012020188

Equalizing seasonal time series using artificial neural networks in predicting the Euro-Yuan exchange rate

Vochozka, Marek; Horák, Jakub; Šuleř, Petr - In: Journal of risk and financial management : JRFM 12 (2019) 2/76, pp. 1-17

The exchange rate is one of the most monitored economic variables reflecting the state of the economy in the long run, while affecting it significantly in the short run. However, prediction of the exchange rate is very complicated. In this contribution, for the purposes of predicting the...

Persistent link: https://www.econbiz.de/10012022122

Periodic and seasonal (co-)integration in the state space framework

Bauer, Dietmar - In: Economics letters 174 (2019), pp. 165-168

Persistent link: https://www.econbiz.de/10012121077