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ARIMA models, the steady state of economic variables and their estimation

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  • Peña, Daniel
  • Espasa, Antoni

Abstract

This paper presents a procedure to breakdown the forecast for a base period t of an ARIMA model in terms of its and transitory components. The former is an estimate equilibrium level or steady state path of the e corresponding economic variable and the latter describes the approach towards the permanent componente within the permanent component a distinction is made between the factors which depend on the initial conditions of the system, and those which are deterministic.

Suggested Citation

  • Peña, Daniel & Espasa, Antoni, 1991. "ARIMA models, the steady state of economic variables and their estimation," UC3M Working papers. Economics 2760, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:2760
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    References listed on IDEAS

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    1. Escribano, A. & , ., 1987. "Co-integration, time co-trends and error-correction systems: an alternative approach," LIDAM Discussion Papers CORE 1987015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Cited by:

    1. Revilla, Pedro & Rey, Pilar & Espasa, Antoni, 1991. "Characterization of production in different branches of production in different branches spanish industrial activity, by means of time series analysis," UC3M Working papers. Economics 2815, Universidad Carlos III de Madrid. Departamento de Economía.

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    Keywords

    Forecasting function;

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