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Chain linking over December and methodological changes in the HICP : view from a central bank perspective
Dietrich, Andreas; Eiglsperger, Martin; Mehrhoff, Jens; … - 2021
changes is a new series with a very different profile in December - either due to changed seasonality or one-off (sampling …
Persistent link: https://www.econbiz.de/10012426937
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Temporal aggregation of univariate and multivariate time series models: A survey
Silvestrini, Andrea; Veredas, David - Banca d'Italia - 2008
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.
Persistent link: https://www.econbiz.de/10005609326
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Forecasting Inflation : An Art as Well as a Science!
Vlaar, Peter J.G. - 2007
In this study, we build two forecasting models to predict inflation Harmonised Index of Consumer Prices (HICP) for the Netherlands and for the euro area. The models provide point forecasts and prediction intervals for both the components of the HICP and the aggregated HICP-index itself. Both...
Persistent link: https://www.econbiz.de/10012776404
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Disentangling the source of non-stationarity in a panel of seasonal data
Hsu, Shih-hsun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012437839
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Chapter 13 Forecasting Seasonal Time Series
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 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
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Measuring inflation in the EU in times of COVID-19
Lamboray, Claude; Evangelista, Rui; Konijn, Paul - In: Eurostat review on national accounts and macroeconomic … (2020), pp. 35-51
The COVID-19 crisis had a major impact on the measurement of inflation around the world, as price observation in shops became impossible and some markets completely closed down. This article looks at the measures taken during the crisis in 2020 to ensure the continued compilation of the European...
Persistent link: https://www.econbiz.de/10012429644
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Chain linking over December and methodological changes in the HICP: View from a central bank perspective
Dietrich, Andreas; Eiglsperger, Martin; Mehrhoff, Jens; … - 2021
changes is a new series with a very different profile in December - either due to changed seasonality or one-off (sampling …
Persistent link: https://www.econbiz.de/10012521172
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Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles
Rotger, Gabriel Pons - 2008
The effects of systematic sampling and temporal aggregation on the seasonal cycle model (see Miron, 1993) and the seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the sequential test for monthly seasonal unit roots of...
Persistent link: https://www.econbiz.de/10014217232
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Seasonal and Cyclical Properties of Ifo Business Test Variables
Flaig, Gebhard - In: Journal of Economics and Statistics (Jahrbuecher fuer … 223 (2003) 5, pp. 556-570
In this paper, an Unobserved Components Model is used to decompose the balances of Ifo Business survey data into the cyclical, the seasonal and the irregular components, as well as the working day effect. The empirical results show that the total cycle consists of three subcycles with about 3, 5...
Persistent link: https://www.econbiz.de/10008533705
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Temporal aggregaton of univariate linear time series models
Andrea, SILVESTRINI - Institut de Recherche Économique et Sociale (IRES), … - 2005
In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...
Persistent link: https://www.econbiz.de/10004984769