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Time-Series Modelling of Daily Tax Revenues

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Author Info
Marius Ooms () (Erasmus University, Rotterdam)
Björn de Groot () (Erasmus University, Rotterdam)
Siem Jan Koopman () (CentER, Tilburg)

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Abstract

This paper discusses a time-series model for daily tax revenues. The model is an unobserved-components model with trend and seasonal components that vary over time. The seasonalities for inter-month and intra-month movements are modelled using stochastic cubic splines. The model is made operational and used to produce daily forecasts at the Dutch Ministry of Finance. A front-end for model configuration and data input is implemented with Visual C ++, while the econometrics and graphical diagnostics are build around Ox and SsfPack, the latter of which implements general procedures for the Kalman filter and state-space models.

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 312.

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Date of creation: 01 Mar 1999
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Handle: RePEc:sce:scecf9:312

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
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  2. Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
  3. Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Report EI 9842 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  4. Harvey, Andrew & Koopman, Siem Jan & Riani, Marco, 1997. "The Modeling and Seasonal Adjustment of Weekly Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 354-68, July.
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2002. "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Paper Series 142, European Central Bank. [Downloadable!]
  2. Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2002. "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Banco de España Working Papers 0211, Banco de España. [Downloadable!]
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