Short-Term Analysis of Macroeconomic Time Series
AbstractThe paper deals with the statistical treatment of macroeconomic data for short-run economic analysis, monitoring and control. The main applications are short-term forecasting and unobserved components estimation, including trend and cycle estimation, and, most often, seasonal adjustment. The paper briefly reviews some of the recent developments in the field, both at the methodological and applied levels. Then it is argued that a fairly general approach, based on signal extraction methods and ARIMA models, will gradually spread as the dominant methodology
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9607.
Length: 36 pages
Date of creation: 1996
Date of revision:
MACROECONOMICS; TIME SERIES; ECONOMIC ANALYSIS;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E00 - Macroeconomics and Monetary Economics - - General - - - General
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- Meltem Gulenay Ongan, 2002. "The Seasonal Adjustment of the Consumer and Wholesale Prices : a Comparison of Census X-11, X-12 Arima and Tramo/Seats," Working Papers 0205, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Banco de Espaï¿½a Working Papers 0112, Banco de Espa�a.
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