Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
AbstractThe 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 frequencies have different variances for their disturbances. The contribution of the paper is two-fold. The first aim is to investigate the dynamic properties of this frequency specific basic structural model. The second aim is to relate the model to a comparable generalised version of the Airline model developed at the U.S. Census Bureau. By adopting a quadratic distance metric based on the restricted reduced form moving-average representation of the models, we conclude that the generalised models have properties that are close to each other compared to their default counterparts. In some settings, the distance between the models is almost zero so that the models can be regarded as observationally equivalent. An extensive empirical study on disaggregated monthly shipment and foreign trade series illustrates the improvements of the frequency-specific extension and investigates the relations between the two classes of models.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 10-018/4.
Date of creation: 04 Feb 2010
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Frequency-specific model; Kalman filter; model-based seasonal adjustment; unobserved components time series model.;
Other versions of this item:
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013. "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-ECM-2011-02-26 (Econometrics)
- NEP-ETS-2011-02-26 (Econometric Time Series)
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