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Do seasonal adjustments induce noncausal dynamics in inflation rates?
Hecq, Alain W. J.; Telg, Sean; Lieb, Lenard - In: Econometrics : open access journal 5 (2017) 4, pp. 1-22
time series driven by expectation relationships. We consider inflation data on the G7 countries to illustrate these results. …
Persistent link: https://www.econbiz.de/10011781868
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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
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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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Comparison between Static and Dynamic Forecast in Autoregressive Integrated Moving Average for Seasonally Adjusted Headline Consumer Price Index
Jackson, Emerson Abraham - 2018
based on the STATIC method result. Test results like Autocorrelation and also comparative values for MAPE and the Inverted …
Persistent link: https://www.econbiz.de/10012921747
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Modeling trigonometric seasonal components for monthly economic time series
Hindrayanto, Irma; Aston, John A.D.; Koopman, Siem Jan; … - 2010
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...
Persistent link: https://www.econbiz.de/10011379642
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Seasonality in High Frequency Time Series
Proietti, Tommaso; Pedregal, Diego J. - 2021
, due to the irregularity of the calendar. The paper deals with modelling seasonality in high frequency data from two main … account for the complexity of seasonality can be very large …
Persistent link: https://www.econbiz.de/10013240258
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The Behaviour of Seasonal Unit Root Tests for Quarterly Time Series with Seasonal Mean Shifts
da Silva Lopes, Artur C.B; Montañes, Antonio - 1999
This paper studies the behaviour of the HEGY tests for quarterly data, for seasonal autoregressive unit roots, when the time series being analysed is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product, we also analyse the HEGY tests for the...
Persistent link: https://www.econbiz.de/10014175046
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Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles
Rotger, Gabriel Pons - 2008
seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the …
Persistent link: https://www.econbiz.de/10014217232
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Seasonal Adjustment of Monetary Aggregates : Implementation of New Procedures
Lacroix, Renaud - 2010
The analysis of seasonality in economics and the development of new seasonal adjustment procedures have been following …
Persistent link: https://www.econbiz.de/10013137979
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
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