Can we use seasonally adjusted variables in dynamic factor models?
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DOI: 10.1515/snde-2013-0096
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- Martin Ellison & Sang Seok Lee & Kevin Hjortshøj O'Rourke, 2020. "The Ends of 27 Big Depressions," NBER Working Papers 27586, National Bureau of Economic Research, Inc.
- O'Rourke, Kevin & Ellison, Martin & Lee, Sang Seok, 2020. "The Ends of 27 Big Depressions," CEPR Discussion Papers 15061, C.E.P.R. Discussion Papers.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
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- Poncela, Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
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- Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- Pawel Krolikowski & Kurt Graden Lunsford, 2020. "Advance Layoff Notices and Aggregate Job Loss," Working Papers 20-03R, Federal Reserve Bank of Cleveland, revised 02 Feb 2022.
- Jorge V. Pérez-Rodríguez & Heiko Rachinger & Rafael Suárez-Vega, 2024. "Is peer-to-peer demand cointegrated at the listing level?," Empirical Economics, Springer, vol. 66(5), pages 2249-2275, May.
- Hopp Daniel, 2022. "Economic Nowcasting with Long Short-Term Memory Artificial Neural Networks (LSTM)," Journal of Official Statistics, Sciendo, vol. 38(3), pages 847-873, September.
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More about this item
Keywords
dynamic factor models; seasonal adjustment; short-term forecasting.;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
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