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Data revisions with moving average seasonal adjustment procedures

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  • Pierce, David A.

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  • Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, vol. 14(1), pages 95-114, September.
  • Handle: RePEc:eee:econom:v:14:y:1980:i:1:p:95-114
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    References listed on IDEAS

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    1. Peter K. Clark & Sung Y. Kwack, 1976. "Asset markets and interest rate determination in the multi-country model," International Finance Discussion Papers 94, Board of Governors of the Federal Reserve System (U.S.).
    2. Richard Berner & Peter K. Clark & Ernesto Hernandez-Cata & Howard Howe & Sung Y. Kwack & Guy V. G. Stevens, 1977. "A multi-country model of the international influences on the U.S. economy: preliminary results," International Finance Discussion Papers 115, Board of Governors of the Federal Reserve System (U.S.).
    3. Guy V. G. Stevens, 1976. "Alternatives for modeling the world outside the United States," International Finance Discussion Papers 96, Board of Governors of the Federal Reserve System (U.S.).
    4. Richard Berner & Peter K. Clark & Howard Howe & Sung Y. Kwack & Guy V. G. Stevens, 1976. "Modeling the international influences on the U.S. economy: a multi- country approach," International Finance Discussion Papers 93, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:

    1. Valle e Azevedo, João & Pereira, Ana, 2013. "Approximating and forecasting macroeconomic signals in real-time," International Journal of Forecasting, Elsevier, vol. 29(3), pages 479-492.
    2. Planas, C. & Roeger, W. & Rossi, A., 2013. "The information content of capacity utilization for detrending total factor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 577-590.
    3. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España;Working Papers Homepage.
    4. Andrle, Michal, 2012. "Understanding DSGE Filters in Forecasting and Policy Analysis," Dynare Working Papers 16, CEPREMAP.
    5. Daragh Clancy, 2013. "Output Gap Estimation Uncertainty: Extracting the TFP Cycle Using an Aggregated PMI Series," The Economic and Social Review, Economic and Social Studies, vol. 44(1), pages 1-18.
    6. S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, pages 60-90.
    7. Scott, Stuart, 1997. "Adjusting from X-11 to X-12," International Journal of Forecasting, Elsevier, vol. 13(4), pages 567-573, December.
    8. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, pages 325-353.
    9. repec:eee:touman:v:33:y:2012:i:6:p:1301-1308 is not listed on IDEAS
    10. Kirchner, Robert, 1999. "Auswirkungen des neuen Saisonbereinigungsverfahrens Census X-12-ARIMA auf die aktuelle Wirtschaftsanalyse in Deutschland," Discussion Paper Series 1: Economic Studies 1999,07, Deutsche Bundesbank, Research Centre.
    11. Pfeffermann, Danny & Morry, Marietta & Wong, Paul, 1995. "Estimation of the variances of X-11 ARIMA seasonally adjusted estimators for a multiplicative decomposition and heteroscedastic variances," International Journal of Forecasting, Elsevier, vol. 11(2), pages 271-283, June.
    12. João Valle e Azevedo, 2007. "A Multivariate Band-Pass Filter," Working Papers w200717, Banco de Portugal, Economics and Research Department.
    13. Guy Mélard, 2016. "On some remarks about SEATS signal extraction," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 53-98, March.
    14. João Valle e Azevedo & Ana Pereira, 2010. "Forecasting Inflation (and the Business Cycle?) with Monetary Aggregates," Working Papers w201024, Banco de Portugal, Economics and Research Department.
    15. Maravall, Agustin, 2006. "An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2167-2190, May.
    16. Christophe Planas & Alessandro Rossi, 2004. "Can inflation data improve the real-time reliability of output gap estimates?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 121-133.
    17. Michal Andrle, 2013. "What Is in Your Output Gap? Unified Framework & Decomposition into Observables," IMF Working Papers 13/105, International Monetary Fund.
    18. McElroy Tucker & Wildi Marc, 2010. "Signal Extraction Revision Variances as a Goodness-of-Fit Measure," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-32, June.

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