inflation’s total variation in Mexico. In this context, we study the performance of seasonal time series models to forecast … short-run inflation. Using multi-horizon evaluation techniques, we examine the real-time forecasting performance of four … each index, we apply and compare two methods that aggregate hierarchical time series, the bottom-up method and an optimal …

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 standard multivariate approach one can interpret periodic time …