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Agustin Maravall

Citations

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Working papers

  1. Agustín Maravall Herrero & Domingo Pérez Cañete, 2011. "Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series," Working Papers 1116, Banco de España.

    Cited by:

    1. Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Efectos calendario sobre la producción industrial en Colombia," Borradores de Economia 820, Banco de la Republica de Colombia.
    2. Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Efectos calendario sobre la producci�n industrial en Colombia," Borradores de Economia 11241, Banco de la Republica.

  2. Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Working Papers 0728, Banco de España.

    Cited by:

    1. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60, Edward Elgar Publishing.
    2. Kathavate, Jay, 2013. "Direct & Indirect Effects of Aid Volatility on Growth: Do Stronger Institutions Play a Role?," MPRA Paper 45187, University Library of Munich, Germany.
    3. Borja Jalón & Simón Sosvilla-Rivero & José A. Herce, 2017. "Countercyclical Labor Productivity: The Spanish Anomaly," IREA Working Papers 201712, University of Barcelona, Research Institute of Applied Economics, revised Jun 2017.
    4. Moghtaderi, Azadeh & Flandrin, Patrick & Borgnat, Pierre, 2013. "Trend filtering via empirical mode decompositions," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 114-126.
    5. Giacomo Sbrana, 2010. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Working Papers 10-09, Association Française de Cliométrie (AFC).
    6. Álvarez, Luis J. & Gómez-Loscos, Ana, 2018. "A menu on output gap estimation methods," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 827-850.
    7. Xu, Jia & Tan, Xiujie & He, Gang & Liu, Yu, 2019. "Disentangling the drivers of carbon prices in China's ETS pilots — An EEMD approach," Technological Forecasting and Social Change, Elsevier, vol. 139(C), pages 1-9.
    8. Galimberti, Jaqueson K. & Moura, Marcelo L., 2016. "Improving the reliability of real-time output gap estimates using survey forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 358-373.
    9. Andreas Billmeier, 2009. "Ghostbusting: which output gap really matters?," International Economics and Economic Policy, Springer, vol. 6(4), pages 391-419, December.
    10. Mikko Myrskylä, 2010. "The effects of shocks in early life mortality on later life expectancy and mortality compression: A cohort analysis," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 22(12), pages 289-320.
    11. Francisco J. Ib��ez-Hern�ndez & Miguel �. Pe�a-Cerezo & Andr�s Araujo, 2015. "Countercyclical capital buffers: credit-to-GDP ratio versus credit growth," Applied Economics Letters, Taylor & Francis Journals, vol. 22(5), pages 385-390, March.
    12. Javier Aliaga Lordemann & Horacio Villegas Quino & Raúl Rubín de Celis, 2011. "Ciclos Económicos e Inversión en Bolivia," Documentos de trabajo 2/2011, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    13. Javier Aliaga Lordemann & Raúl Rubin de Celis & Horacio Villegas Quino, 2011. "No Linealidad de los Ciclos Económicos en Bolivia," Documentos de trabajo 7/2011, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    14. Hiroshi Yamada & Lan Jin, 2013. "Japan’s output gap estimation and ℓ 1 trend filtering," Empirical Economics, Springer, vol. 45(1), pages 81-88, August.
    15. Víctor M. Guerrero & Adriana Galicia‐Vázquez, 2010. "Trend estimation of financial time series," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 205-223, May.
    16. Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The University of Manchester.
    17. Ringwald, Leopold & Zörner, Thomas O., 2023. "The money-inflation nexus revisited," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 293-333.
    18. Ballestar, María Teresa & Díaz-Chao, Ángel & Sainz, Jorge & Torrent-Sellens, Joan, 2021. "Impact of robotics on manufacturing: A longitudinal machine learning perspective," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    19. Fritz, Marlon, 2019. "Steady state adjusting trends using a data-driven local polynomial regression," Economic Modelling, Elsevier, vol. 83(C), pages 312-325.
    20. Tapia, Jose, 2016. "Oil prices and the world business cycle: A causal investigation," MPRA Paper 68978, University Library of Munich, Germany.
    21. Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008. "The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913," CEIS Research Paper 133, Tor Vergata University, CEIS, revised 18 Nov 2008.
    22. Luis Ignacio Román de la Sancha & Federico Hernández Álvarez & Gabriel Rodríguez García, 2019. "Co-movimientos entre los Índices Accionarios y los Ciclos Económicos de Estados Unidos y México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(4), pages 693-714, Octubre -.
    23. Petz, Nico & Zörner, Thomas O., 2026. "How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 161(C).
    24. Victor M. Guerrero, 2008. "Estimating Trends with Percentage of Smoothness Chosen by the User," International Statistical Review, International Statistical Institute, vol. 76(2), pages 187-202, August.
    25. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
    26. Riccardo De Bonis & Andrea Silvestrini, 2013. "The Italian financial cycle: 1861-2011," Temi di discussione (Economic working papers) 936, Bank of Italy, Economic Research and International Relations Area.
    27. Ballestar, María Teresa & García-Lazaro, Aida & Sainz, Jorge & Sanz, Ismael, 2022. "Why is your company not robotic? The technology and human capital needed by firms to become robotic," Journal of Business Research, Elsevier, vol. 142(C), pages 328-343.

  3. Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Working Papers 0524, Banco de España.

    Cited by:

    1. V. Ball & Carlos San-Juan-Mesonada & Camilo Ulloa, 2014. "State productivity growth in agriculture: catching-up and the business cycle," Journal of Productivity Analysis, Springer, vol. 42(3), pages 327-338, December.
    2. Aguilera, Ana M. & Escabias, Manuel & Valderrama, Mariano J., 2008. "Forecasting binary longitudinal data by a functional PC-ARIMA model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3187-3197, February.
    3. Medel, Carlos A., 2014. "A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA," MPRA Paper 57053, University Library of Munich, Germany.
    4. Simone Emiliozzi & Filippo Favero, 2025. "Unveiling natural gas consumption sectoral price elasticities," Questioni di Economia e Finanza (Occasional Papers) 941, Bank of Italy, Economic Research and International Relations Area.
    5. Bujosa, Marcos & Garcia-Ferrer, Antonio & Young, Peter C., 2007. "Linear dynamic harmonic regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 999-1024, October.
    6. Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
    7. Tucker McElroy, 2018. "Seasonal adjustment subject to accounting constraints," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 574-589, November.
    8. Thornton, Michael A., 2013. "Removing seasonality under a changing regime: Filtering new car sales," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 4-14.
    9. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    10. Daniel Thorburn & Can Tongur, 2014. "Assessing direct and indirect seasonal decomposition in state space," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(9), pages 2075-2091, September.
    11. Fornaro, Paolo & Luomaranta, Henri, 2015. "Small Versus Large Firms Employment Patterns in Finland: a Comparison," MPRA Paper 66979, University Library of Munich, Germany.
    12. Enrique M. Quilis, 2018. "Temporal disaggregation of economic time series: The view from the trenches," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 447-470, November.
    13. Ball, V. Eldon & San Juan, Carlos & Ulloa, Camilo A., 2011. "Agricultural productivity in the United States: catching-up and the business cycle," UC3M Working papers. Economics we1116, Universidad Carlos III de Madrid. Departamento de Economía.
    14. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    15. Keith R. Phillips & Jack Wang, 2016. "Residual seasonality in U.S. GDP data," Working Papers 1608, Federal Reserve Bank of Dallas.
    16. Michał Gradzewicz, 2019. "How do savings of different sectors respond to interest rate change?," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(1), pages 1-22, March.
    17. Carmen Maria Angyal, 2012. "The Study of Correlation between Stock Market Dynamics and Real Economy," EuroEconomica, Danubius University of Galati, issue 2(31), pages 14-22, May.
    18. Lisa Sella & Gianna Vivaldo & Andreas Groth & Michael Ghil, 2016. "Economic Cycles and Their Synchronization: A Comparison of Cyclic Modes in Three European Countries," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 25-48, September.

  4. Regina Kaiser & Agustín Maravall, 2004. "Combining filter design with model based filtering (with an application to business cycle estimation)," Working Papers 0417, Banco de España.

    Cited by:

    1. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60, Edward Elgar Publishing.
    2. Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, vol. 43(1), pages 219-244, August.
    3. 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.
    4. Kamilya Tazhibayeva & Mr. Aasim M. Husain & Anna Ter-Martirosyan, 2008. "Fiscal Policy and Economic Cycles in Oil-Exporting Countries," IMF Working Papers 2008/253, International Monetary Fund.
    5. Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
    6. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    7. Dias, Maria Helena Ambrosio & Dias, Joilson, 2010. "Measuring the Cyclical Component of a Time Series: a New Proposed Methodology," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
    8. Tommaso Proietti, 2009. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
    9. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    10. McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 237-273, July.
    11. Agustín Maravall Herrero & Domingo Pérez Cañete, 2011. "Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series," Working Papers 1116, Banco de España.
    12. Julio Roman, Juan Manuel, 2011. "The Hodrick-Prescott filter with priors: linear restrictions on HP filters," MPRA Paper 34202, University Library of Munich, Germany.
    13. Juan Manuel Julio, 2011. "Data Revisions and the Output Gap," Borradores de Economia 7956, Banco de la Republica.
    14. Terence C. Mills, 2013. "Constructing U.K. Core Inflation," Econometrics, MDPI, vol. 1(1), pages 1-21, April.
    15. Proietti, Tommaso, 2008. "Structural Time Series Models for Business Cycle Analysis," MPRA Paper 6854, University Library of Munich, Germany.
    16. Musso, Alberto & Proietti, Tommaso, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series 804, European Central Bank.
    17. Victor M. Guerrero, 2008. "Estimating Trends with Percentage of Smoothness Chosen by the User," International Statistical Review, International Statistical Institute, vol. 76(2), pages 187-202, August.
    18. Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
    19. Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.
    20. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
    21. Acevedo Rueda, Rafael Alexis & Mora Mora, José U. & Harmath Fernández, Pedro Alexander, 2012. "La brecha del producto y el producto potencial en Venezuela: una estimación SVAR [Output Gap and Potential GDP in Venezuela: A SVAR Estimation]," MPRA Paper 58691, University Library of Munich, Germany, revised 2013.

  5. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España.

    Cited by:

    1. Martin Fukac & Adrian Pagan, 2009. "Structural Macro-Econometric Modelling in a Policy Environment," NCER Working Paper Series 50, National Centre for Econometric Research.
    2. Michael Artis & Toshihiro Okubo, 2008. "The Intranational Business Cycle: Evidence from Japan," Hi-Stat Discussion Paper Series d07-234, Institute of Economic Research, Hitotsubashi University.
    3. Michael Artis & Toshihiro Okubo, 2011. "The intranational business cycle in Japan," Oxford Economic Papers, Oxford University Press, vol. 63(1), pages 111-133, January.
    4. Artis, Michael & Okubo, Toshihiro, 2009. "The UK intranational trade cycle," LSE Research Online Documents on Economics 33211, London School of Economics and Political Science, LSE Library.
    5. Dias, Maria Helena Ambrosio & Dias, Joilson, 2010. "Measuring the Cyclical Component of a Time Series: a New Proposed Methodology," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
    6. Jonathan Olusegun Famoroti & Omolade Adeleke, 2023. "Analysis of Wamz’s Economic Growth and Monetary Policy Using the Markov Switching Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(4), pages 142-156, April.
    7. Martin Fukac & Adrian Pagan, 2010. "Limited information estimation and evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 55-70.
    8. Michael Artis & Toshihiro Okubo, 2010. "The UK intranational business cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 71-93.
    9. Michael J. Artis & Toshihiro Okubo, 2011. "Business Cycle, Currency and Trade, Revisited," Keio/Kyoto Joint Global COE Discussion Paper Series 2011-019, Keio/Kyoto Joint Global COE Program.
    10. Artis, Michael & Okubo, Toshihiro, 2009. "Globalization and business cycle transmission," The North American Journal of Economics and Finance, Elsevier, vol. 20(2), pages 91-99, August.

  6. Agustín Maravall, 2002. "An Application of TRAMO-SEATS: Automatic Procedure and Sectoral Aggregation," Working Papers 0207, Banco de España.

    Cited by:

    1. Medel, Carlos A., 2014. "A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA," MPRA Paper 57053, University Library of Munich, Germany.
    2. Colm McCarthy & John Lawlor, 2005. "Alternative seasonal adjustment methods for aggregate Irish macroeconomic data," Open Access publications 10197/566, School of Economics, University College Dublin.

  7. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.

    Cited by:

    1. Eliana Gonz�lez, 2010. "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia 7015, Banco de la Republica.
    2. Eliana González & . Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model for the Colombian Inflation," Borradores de Economia 549, Banco de la Republica de Colombia.
    3. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.
    4. Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers 2012/06, Latvijas Banka.
    5. Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
    6. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.
    7. Eliana Gonz�lez, 2011. "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia 7996, Banco de la Republica.

  8. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Working Papers 0108, Banco de España.

    Cited by:

    1. Wang, Hao & Xu, Ning & Yin, Haiyan & Ji, Hao, 2022. "The dynamic impact of monetary policy on financial stability in China after crises," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    2. Martín Román, Ángel L. & Cuéllar-Martín, Jaime & Moral de Blas, Alfonso, 2018. "Labor supply and the business cycle: The “Bandwagon Worker Effect”," GLO Discussion Paper Series 274, Global Labor Organization (GLO).
    3. Simon Sosvilla-Rivero, 2011. "Productivity in the Spanish regions during the recent economic cycles," ERSA conference papers ersa11p57, European Regional Science Association.
    4. Joël Cariolle & Petros G Sekeris, 2021. "How export shocks corrupt: theory and evidence," Working Papers hal-03164648, HAL.
    5. Joël Cariolle & Michaël Goujon, 2015. "Measuring Macroeconomic Instability: A Critical Survey Illustrated With Exports Series," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 1-26, February.
    6. Yuwen Dai, 2014. "Business Cycle Synchronization in Asia: The Role of Financial and Trade Linkages," Working Papers on Regional Economic Integration 139, Asian Development Bank.
    7. Bloechl, Andreas, 2014. "Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization," Discussion Papers in Economics 17940, University of Munich, Department of Economics.
    8. Pérez-Quirós, Gabriel & Camacho, Máximo & ,, 2005. "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers 4824, Centre for Economic Policy Research.
    9. Brauer, Jurgen & Gomez-Sorzano, Alejandro & Sethuraman, Sankar, 2004. "Decomposing violence: political murder in Colombia, 1946-1999," European Journal of Political Economy, Elsevier, vol. 20(2), pages 447-461, June.
    10. Espino, Freddy, 2013. "Hechos Estilizados del Sistema Bancario Peruano," Working Papers 2013-005, Banco Central de Reserva del Perú.
    11. Horacio Villegas & Raúl Rubín de Celis & Javier Aliaga, 2011. "Hodrick–Prescott, Goodwin y ciclos económicos en Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 16, pages 29-38.
    12. Marcell Göttert & Timo Wollmershäuser, 2021. "Survey-Based Structural Budget Balances," CESifo Working Paper Series 8911, CESifo.
    13. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
    14. Antonio Portugal Duarte & Nuno Baetas da Silva, 2022. "Exchange Rate Synchronization for a Set of Currencies from Different Monetary Areas," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(2), pages 163-189, June.
    15. Enrique Alberola & José M. Montero, 2006. "Debt sustainability and procyclical fical policies in Latin America," Working Papers 0611, Banco de España.
    16. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España.
    17. Javier Aliaga Lordemann & Horacio Villegas Quino & Raúl Rubín de Celis, 2011. "Ciclos Económicos e Inversión en Bolivia," Documentos de trabajo 2/2011, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    18. Nuno Lourenço & António Rua, 2023. "Business cycle clocks: Time to get circular," Empirical Economics, Springer, vol. 65(4), pages 1513-1541, October.
    19. Alberto ZANARDI & Giampaolo ARACHI & Caterina FERRARIO, 2010. "Regional Redistribution and Risk Sharing in Italy: The Role of Different Tiers of Government," Regional and Urban Modeling 284100049, EcoMod.
    20. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, University Library of Munich, Germany.
    21. Andres, Javier & Domenech, Rafael & Fatas, Antonio, 2008. "The stabilizing role of government size," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 571-593, February.
    22. Javier Aliaga Lordemann & Raúl Rubin de Celis & Horacio Villegas Quino, 2011. "No Linealidad de los Ciclos Económicos en Bolivia," Documentos de trabajo 7/2011, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    23. Rafael Doménech & Víctor Gómez, 2005. "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, vol. 29(2), pages 259-288, May.
    24. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
    25. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    26. Joël CARIOLLE, 2012. "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers I14, FERDI.
    27. Mora, Ricardo & Siotis, Georges, 2005. "External factors in emerging market recoveries: An empirical investigation," European Economic Review, Elsevier, vol. 49(3), pages 683-702, April.
    28. Catelén, Ana Laura, 2020. "Growth constraints and external vulnerability in Argentina," Nülan. Deposited Documents 3471, Universidad Nacional de Mar del Plata, Facultad de Ciencias Económicas y Sociales, Centro de Documentación.
    29. Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).
    30. David Aadland, 2002. "Detrending Time-Aggregated Data," Working Papers 2002-05, Utah State University, Department of Economics.
    31. Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers 2012/06, Latvijas Banka.
    32. Hussain, M. Haider & Ahmed, Qazi Masood, 2006. "Estimating the Black Economy through Monetary Approach: A Case Study of Pakistan," MPRA Paper 8153, University Library of Munich, Germany.
    33. International Monetary Fund, 2015. "Republic of Estonia: Selected Issues," IMF Staff Country Reports 2015/337, International Monetary Fund.
    34. Eddie Casey, 2019. "Inside the "Upside Down": Estimating Ireland's Output Gap," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 5-34.
    35. Karen Crabbé & Michel Beine, 2009. "Trade, Institutions and Export Specialization," LICOS Discussion Papers 23409, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
    36. Dedák, István & Dombi, Ákos, 2009. "Konvergencia és növekedési ütem [Convergence and growth rate]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 19-45.
    37. Nikopour, Hesam, 2005. "Business cycles and policy making in social insurance systems the case of Iran (1962-2004)," MPRA Paper 13060, University Library of Munich, Germany, revised 29 Jan 2009.
    38. Michael J. Artis & Toshihiro Okubo, 2011. "Business Cycle, Currency and Trade, Revisited," Keio/Kyoto Joint Global COE Discussion Paper Series 2011-019, Keio/Kyoto Joint Global COE Program.
    39. Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
    40. Piotr Bańbuła & Marcin Pietrzak, 2021. "Early Warning Models of Banking Crises: VIX and High Profits," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(4), pages 381-403, December.
    41. Emilian DOBRESCU, 2021. "Potential Output: A Market Conditionalities Interpretation," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-38, December.
    42. Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch, 2010. "Forecasting the Polish Zloty with Non-Linear Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 2(2), pages 151-167, March.
    43. Miguel Artiach, 2011. "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD 2011-27, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    44. Petz, Nico & Zörner, Thomas O., 2026. "How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 161(C).
    45. Michael Tomz & Mark L. J. Wright, 2007. "Do Countries Default in “Bad Times”?," Working Paper Series 2007-17, Federal Reserve Bank of San Francisco.
    46. Joël CARIOLLE, 2012. "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers I14, FERDI.
    47. Edinaldo Tebaldi, 2016. "The Dynamics of Total Factor Productivity and Institutions," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 41(4), pages 1-25, December.
    48. Kathavate, Jay & Mallik, Girijasankar, 2012. "The impact of the Interaction between institutional quality and aid volatility on growth: theory and evidence," Economic Modelling, Elsevier, vol. 29(3), pages 716-724.
    49. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.

  9. Agustín Maravall & Fernando J. Sánchez, 2000. "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers 0014, Banco de España.

    Cited by:

    1. Aslihan Atabek & Oguz Atuk & Evren Erdogan Cosar & Cagri Sarikaya, 2009. "Mevsimsel Modellerde Calisma Gunu Degiskeni," CBT Research Notes in Economics 0903, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Michal Tvrdoň, 2015. "Decomposition of Unemployment: The Case of the Visegrad group countries," Working Papers 0005, Silesian University, School of Business Administration.
    3. Oguz Atuk & Beyza Pinar Ural, 2002. "Seasonal Adjustment Methods : An Application to the Turkish Monetary Aggregates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(1), pages 21-37.
    4. Meltem Gulenay Ongan, 2002. "The Seasonal Adjustment of the Consumer and Wholesale Prices : a Comparison of Census X-11, X-12 Arima and Tramo/Seats," Working Papers 0205, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

  10. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers 0012, Banco de España.

    Cited by:

    1. Mr. Alfredo Baldini, 2005. "Fiscal Policy and Business Cycles in an Oil-Producing Economy: The Case of Venezuela," IMF Working Papers 2005/237, International Monetary Fund.
    2. Aslihan Atabek & Oguz Atuk & Evren Erdogan Cosar & Cagri Sarikaya, 2009. "Mevsimsel Modellerde Calisma Gunu Degiskeni," CBT Research Notes in Economics 0903, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Buss, Ginters, 2010. "Seasonal decomposition with a modified Hodrick-Prescott filter," MPRA Paper 24133, University Library of Munich, Germany.
    4. Andreja Pufnik & Davor Kunovac, 2006. "Short-Term Forecasting of Inflation in Croatia with Seasonal ARIMA Processes," Working Papers 16, The Croatian National Bank, Croatia.
    5. Bhattacharya, Rudrani & Pandey, Radhika & Patnaik, Ila & Shah, Ajay, 2016. "Seasonal adjustment of Indian macroeconomic time-series," Working Papers 16/160, National Institute of Public Finance and Policy.
    6. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    7. Oguz Atuk & Beyza Pinar Ural, 2002. "Seasonal Adjustment Methods : An Application to the Turkish Monetary Aggregates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(1), pages 21-37.

  11. Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Working Papers 0011, Banco de España.

    Cited by:

    1. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    2. Martelotte Marcela Cohen & Souza Reinaldo Castro & Silva Eduardo Antônio Barros da, 2017. "Design of Seasonal Adjustment Filter Robust to Variations in the Seasonal Behaviour of Time Series," Journal of Official Statistics, Paradigm, vol. 33(1), pages 155-186, March.

  12. Regina Kaiser & Agustín Maravall, 1999. "Seasonal Outliers in Time Series," Working Papers 9915, Banco de España.

    Cited by:

    1. Luciana Crosilla, 2006. "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers 68, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    2. Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Working Papers 0011, Banco de España.
    3. Massimo Albanese, 2022. "Community Enterprises: Snapshots from Italy," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 8, ejes_v8_i.
    4. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "An application of tramo-seats: changes in seasonality and current trend-cycle assesment: the german retail trade turnover series," DES - Working Papers. Statistics and Econometrics. WS 10010, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027, December.

  13. Regina Kaiser & Agustín Maravall, 1999. "Short-Term and Long-Term Trends, Seasonal Adjustment, and the Business Cycles," Working Papers 9918, Banco de España.

    Cited by:

    1. Pacheco Jiménez, J.F., 2001. "Business cycles in small open economies: the case of Costa Rica," ISS Working Papers - General Series 19075, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
    2. Ángel Estrada & Ignacio Hernando & J. David López-Salido, 2000. "Measuring the NAIRU in the Spanish Economy," Working Papers 0009, Banco de España.
    3. Christian M. Dahl & Henrik Hansen & John Smidt, 2008. "The cyclical component factor model," CREATES Research Papers 2008-44, Department of Economics and Business Economics, Aarhus University.

  14. Agustín Maravall, 1999. "An Application of TRAMO and SEATS: Report for the "Seasonal Adjustment Research Appraisal" Project," Working Papers 9914, Banco de España.

    Cited by:

    1. Meltem Gulenay Ongan, 2002. "The Seasonal Adjustment of the Consumer and Wholesale Prices : a Comparison of Census X-11, X-12 Arima and Tramo/Seats," Working Papers 0205, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

  15. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter," Working Papers 9912, Banco de España.

    Cited by:

    1. Giang Huong Nguyen, 2014. "Estimating the Output Gap to Support the Management of Interest Rates in Vietnam," IHEID Working Papers 05-2014, Economics Section, The Graduate Institute of International Studies.
    2. Lars-H. R. Siemers, 2024. "On the Hamilton-HP Filter Controversy: Evidence from German Business Cycles," MAGKS Papers on Economics 202421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Polasek, Wolfgang, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Economics Series 277, Institute for Advanced Studies.
    4. João Sousa Andrade & António Portugal Duarte, 2012. "The Importance of a Good Indicator for Global Excess Demand," GEMF Working Papers 2012-15, GEMF, Faculty of Economics, University of Coimbra.
    5. Viv B. Hall & Peter Thomson, 2024. "Selecting a Boosted HP Filter for Growth Cycle Analysis Based on Maximising Sharpness," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(2), pages 193-217, July.
    6. Harri Kemp, 2014. "Measuring potential output for the South African economy: Embedding information about the financial cycle," Working Papers 03/2014, Stellenbosch University, Department of Economics.
    7. Medel, Carlos A., 2017. "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," MPRA Paper 78439, University Library of Munich, Germany.
    8. Winkelried, Diego, 2016. "Piecewise linear trends and cycles in primary commodity prices," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 196-213.
    9. Nikolaos Giannellis & Athanasios Papadopoulos, 2007. "Estimating the Equilibrium Effective Exchange Rate for Potential EMU Members," Open Economies Review, Springer, vol. 18(3), pages 307-326, July.
    10. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
    11. Jed Armstrong, 2015. "The Reserve Bank of New Zealand’s output gap indicator suite and its real-time properties," Reserve Bank of New Zealand Analytical Notes series AN2015/08, Reserve Bank of New Zealand.
    12. Detken, Carsten & Smets, Frank, 2004. "Asset price booms and monetary policy," Working Paper Series 364, European Central Bank.
    13. Zbigniew Kuchta & Katarzyna Piłat, 2010. "Zastosowanie modelu realnego cyklu koniunkturalnego Hansena do gospodarki Polski," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 11-12, pages 19-39.
    14. Vincent Bouvatier & Sofiane El Ouardi, 2023. "Credit gaps as banking crisis predictors: A different tune for middle- and low-income countries," Post-Print hal-04286360, HAL.
    15. Viv B. Hall & Peter Thomson, 2021. "Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 151-183, November.
    16. Adam Geršl & Thomas Mitterling, 2021. "Forecast-Augmented Credit-to-GDP Gap as an Early Warning Indicator of Banking Crises," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(4), pages 323-351, December.
    17. Galimberti, Jaqueson K. & Moura, Marcelo L., 2016. "Improving the reliability of real-time output gap estimates using survey forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 358-373.
    18. Diego Winkelried, 2014. "Exchange rate pass-through and inflation targeting in Peru," Empirical Economics, Springer, vol. 46(4), pages 1181-1196, June.
    19. Deicy J. Cristiano-Botia & Manuel Dario Hernandez-Bejarano & Mario A. Ramos-Veloza, 2021. "Labor Market Indicator for Colombia (LMI)," Borradores de Economia 1152, Banco de la Republica de Colombia.
    20. Hall, Viv B. & Thomson, Peter, 2022. "A boosted HP filter for business cycle analysis: evidence from New Zealand’s small open economy," Working Paper Series 21184, Victoria University of Wellington, School of Economics and Finance.
    21. Winkelried, Diego, 2013. "Modelo de Proyección Trimestral del BCRP: Actualización y novedades," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 9-60.
    22. Kristian Jönsson, 2020. "Cyclical Dynamics and Trend/Cycle Definitions: Comparing the HP and Hamilton Filters," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(2), pages 151-162, November.
    23. Lechman, Ewa & Dominiak, Piotr, 2016. "Entrepreneurship vulnerability to business cycle. A new methodology for identification pro-cyclical and counter-cyclical patterns of entrepreneurial activity," MPRA Paper 68793, University Library of Munich, Germany.
    24. Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.
    25. Miroslav Plašil, 2011. "Potenciální produkt, mezera výstupu a míra nejistoty spojená s jejich určením při použití Hodrick-Prescottova filtru [Potential Product, Output Gap and Uncertainty Rate Associated with Their Determination while Using the Hodrick-Prescott Filter]," Politická ekonomie, Prague University of Economics and Business, vol. 2011(4), pages 490-507.
    26. ramona Jimborean, 2011. "The Exchange Rate Pass-Through in the New EU Member States," Working papers 341, Banque de France.
    27. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach," Working Papers 0717, University of Crete, Department of Economics.
    28. Cláudia Duarte & José R. Maria & Sharmin Sazedj, 2025. "The business cycle of the Portuguese economy in the post-pandemic period," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    29. Bouvatier, Vincent & Delatte, Anne-Laure & Rehault, Pierre-Nicolas, 2022. "Measuring credit procyclicality: A new database," Emerging Markets Review, Elsevier, vol. 52(C).
    30. Enrique Alberola & José M. Montero, 2006. "Debt sustainability and procyclical fical policies in Latin America," Working Papers 0611, Banco de España.
    31. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España.
    32. Kristian Jönsson, 2025. "Comparing real-time uncertainty of the Hodrick-Prescott and Hamilton trend/cycle decompositions," Empirical Economics, Springer, vol. 69(3), pages 1335-1361, September.
    33. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(4), pages 555-578, November.
    34. Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
    35. Rafael Doménech & Víctor Gómez, 2005. "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, vol. 29(2), pages 259-288, May.
    36. Regina Kaiser & Agustín Maravall, 2000. "An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series," Working Papers 0011, Banco de España.
    37. Tihana Škrinjarić, 2023. "Credit-to-GDP Gap Estimates in Real Time: A Stable Indicator for Macroprudential Policy Making in Croatia," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(3), pages 582-614, September.
    38. Randal Verbrugge & Saeed Zaman, 2024. "Post‐COVID inflation dynamics: Higher for longer," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 871-893, July.
    39. Virmani, Vineet, 2004. "Estimating Output Gap for the Indian Economy: Comparing Results from Unobserved-Components Models and the Hodrick-Prescott Filter," IIMA Working Papers WP2004-04-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    40. Josefine Quast & Maik H. Wolters, 2022. "Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 152-168, January.
    41. Tadeusz Kufel, 2021. "Covid-19 Pandemic Lockdown vs. Business Cycle Clock Registration of New Passenger Cars in European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 875-890.
    42. Irina V. Danilova & Valentina S. Antonyuk & Olga A. Bogdanova, 2023. "Shock robustness of single-industry regions: Assessment and governance," Upravlenets, Ural State University of Economics, vol. 14(6), pages 33-49, December.
    43. 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.
    44. Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The University of Manchester.
    45. John Marangos & Vasiliki Fourmouzi & Minoas Koukouritakis, 2013. "Factors that Determine the Decline in University Student Enrolments in Economics in Australia: An Empirical Investigation," The Economic Record, The Economic Society of Australia, vol. 89(285), pages 255-270, June.
    46. International Monetary Fund, 2002. "Lithuania: History and Future of the Currency Board Arrangement," IMF Working Papers 2002/127, International Monetary Fund.
    47. Bouoiyour, Jamal & Ibourk, Aomar, 2005. "Le Cycle des affaires dans les pays MENA Une Application du Filtre Hodrick-Prescott [The Business Cycle in MENA Application of a Hodrick-Prescott Filter]," MPRA Paper 46115, University Library of Munich, Germany.
    48. Kuchta,, Zbigniew & Piłat, Katarzyna, . "Zastosowanie modelu realnego cyklu koniunkturalnego Hansena do gospodarki Polski," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2010(11-12).
    49. Juan Bógalo & Pilar Poncela & Eva Senra, 2021. "Circulant Singular Spectrum Analysis to Monitor the State of the Economy in Real Time," Mathematics, MDPI, vol. 9(11), pages 1-17, May.
    50. Jorg Scheibe, 2003. "The Chinese Output Gap During the Reform Period 1978-2002," Economics Series Working Papers 179, University of Oxford, Department of Economics.
    51. Michael Callaghan & Jamie Culling & Finn Robinson, 2018. "Ageing is a drag: Projecting labour force participation in New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2018/10, Reserve Bank of New Zealand.
    52. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "An application of tramo-seats: changes in seasonality and current trend-cycle assesment: the german retail trade turnover series," DES - Working Papers. Statistics and Econometrics. WS 10010, Universidad Carlos III de Madrid. Departamento de Estadística.
    53. Faith Christian Cacnio, 2013. "Analysing inflation dynamics in the Philippines using the new Keynesian Phililips curve," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 50(2), pages 53-82, December.
    54. Frederico Belo, 2001. "Some Facts About the Cyclical Convergence in the Euro Zone," Working Papers w200107, Banco de Portugal, Economics and Research Department.
    55. Valle e Azevedo, João, 2008. "A Multivariate Band-Pass Filter," MPRA Paper 6555, University Library of Munich, Germany.
    56. Atsebi, Jean-Marc & Ligonnière, Samuel & Mathonnat, Clément, 2025. "Not all banking crises are alike: Assessing their distributional impacts relative to pre-crisis credit gaps," Journal of International Money and Finance, Elsevier, vol. 150(C).
    57. Mr. Angel J. Ubide & Mr. Kevin Ross, 2001. "Mind the Gap: What is the Best Measure of Slack in the Euro Area?," IMF Working Papers 2001/203, International Monetary Fund.
    58. Tóth, Máté, 2021. "A multivariate unobserved components model to estimate potential output in the euro area: a production function based approach," Working Paper Series 2523, European Central Bank.
    59. Neslihan Sakarya & Robert M. de Jong, 2022. "The spectral analysis of the Hodrick–Prescott filter," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 479-489, May.
    60. Calza, Alessandro, 2008. "Globalisation, domestic inflation and global output gaps: Evidence from the euro area," Working Paper Series 890, European Central Bank.
    61. Anusha, "undated". "Evaluating reliability of some symmetric and asymmetric univariate filters," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-030, Indira Gandhi Institute of Development Research, Mumbai, India.
    62. Lyubomir Ivanov, 2005. "Is "The ideal filter" really Ideal: The usage of Frequency Filtering and Spurious Cycles," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 3(1), pages 79-96.
    63. Julio Roman, Juan Manuel, 2011. "The Hodrick-Prescott filter with priors: linear restrictions on HP filters," MPRA Paper 34202, University Library of Munich, Germany.
    64. Jagric Timotej, 2003. "A Nonlinear Approach to Forecasting with Leading Economic Indicators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
    65. Juan Manuel Julio, 2011. "Data Revisions and the Output Gap," Borradores de Economia 7956, Banco de la Republica.
    66. Martin Boďa & Michaela Tichá, 2026. "A method for the gender disaggregation of Okun’s law," International Economics and Economic Policy, Springer, vol. 23(2), pages 1-19, May.
    67. Alessandro Calza, 2008. "Globalisation, domestic inflation and the global output gaps: evidence from the Euro era," Globalization Institute Working Papers 13, Federal Reserve Bank of Dallas.
    68. Bouvatier, Vincent & López-Villavicencio, Antonia & Mignon, Valérie, 2012. "Does the banking sector structure matter for credit procyclicality?," Economic Modelling, Elsevier, vol. 29(4), pages 1035-1044.
    69. Mohamed Elshazli A. Zidan & Anouar Ben Mabrouk & Nidhal Ben Abdallah & Tawfeeq M. Alanazi, 2024. "Multifractal wavelet dynamic mode decomposition modeling for marketing time series," Papers 2403.13361, arXiv.org.
    70. M Artis, 2002. "Dating the Business Cycle in Britain," Centre for Growth and Business Cycle Research Discussion Paper Series 17, Economics, The University of Manchester.
    71. Codruţa Mare & Cristian Litan, 2012. "Perspectives on Euro introduction in the Romanian economy," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 12(1), pages 23-40, July.
    72. Eduardo Loría & Emmanuel Salas, 2014. "Ciclos, crecimiento económico y crisis en México, 1980.1-2013.4," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 29(2), pages 131-161.
    73. Acevedo Rueda, Rafael Alexis & Mora Mora, José U. & Harmath Fernández, Pedro Alexander, 2012. "La brecha del producto y el producto potencial en Venezuela: una estimación SVAR [Output Gap and Potential GDP in Venezuela: A SVAR Estimation]," MPRA Paper 58691, University Library of Munich, Germany, revised 2013.
    74. Gunter Löffler, 2013. "Can rating agencies look through the cycle?," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 623-646, May.

  16. Victor Gómez & Agustin Maravall & Daniel Peña, 1999. "Missing observations in ARIMA models: Skipping strategy versus outlier approach," Working Papers 9701, Banco de España.

    Cited by:

    1. Juan Pedro Muñoz Miguel & Ana Elizabeth García Sipols & Clara Simón de Blas & Francisca Anguita Rodríguez, 2021. "A Model to Evaluate the Effect of Urban Road Pricing on Traffic Speed and Congestion in Madrid City Center and Its Surrounding," Sustainability, MDPI, vol. 13(15), pages 1-23, July.
    2. Arash Jamalmanesh & Mahdi Khodaparast Mashhadi & Ahmad Seifi & Mohammad Ali Falahi, 2018. "Prediction of Hydropower Energy Price Using G mes-Maravall Seasonal Model," International Journal of Energy Economics and Policy, Econjournals, vol. 8(2), pages 81-88.
    3. José Casals & Sonia Sotoca & Miguel Jerez, 2012. "Minimally Conditioned Likelihood for a Nonstationary State Space Model," Documentos de Trabajo del ICAE 2012-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    4. Luis Eduardo Arango & Andrés González & John Jairo León & Luis Fernando Melo., 2008. "Cambios de la Tasa de Política y su Efecto en la Estructura a Plazo de Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 257-291.
    5. Carlo Mari & Emiliano Mari, 2021. "Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1039-1062, December.
    6. Che-Yu Hung & Chien-Chih Wang & Shi-Woei Lin & Bernard C. Jiang, 2022. "An Empirical Comparison of the Sales Forecasting Performance for Plastic Tray Manufacturing Using Missing Data," Sustainability, MDPI, vol. 14(4), pages 1-21, February.
    7. Yılmaz, Engin, 2015. "Forecasting tourist arrivals to Turkey," MPRA Paper 68616, University Library of Munich, Germany.
    8. M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
    9. Carlos Carrillo-Tudela, 2012. "Unemployment and Endogenous Reallocation over the Business Cycle," 2012 Meeting Papers 1045, Society for Economic Dynamics.
    10. Alanya-Beltran, Willy, 2022. "Unit roots in lower-bounded series with outliers," Economic Modelling, Elsevier, vol. 115(C).
    11. Mercan, Yusuf & Schoefer, Benjamin & SedlÃ¡Ä ek, Petr, 2022. "A Congestion Theory of Unemployment Fluctuations," CEPR Discussion Papers 15500, Centre for Economic Policy Research.

  17. Víctor Gómez & Agustín Maravall, 1998. "Seasonal Adjustment and Signal Extraction in Economic Time Series," Working Papers 9809, Banco de España.

    Cited by:

    1. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany.
    2. F. OğunC & D. Ece, 2004. "Estimating the output gap for Turkey: an unobserved components approach," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 177-182.
    3. Marcus Scheiblecker, 2003. "Der Arbeitstagseffekt im vierteljährlichen Bruttoinlandsprodukt. Eine empirische Analyse anhand saisonaler Zeitreihenmodelle," WIFO Monatsberichte (monthly reports), WIFO, vol. 76(11), pages 829-839, November.
    4. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Interpreting euro area inflation at high and low frequencies," European Economic Review, Elsevier, vol. 52(6), pages 964-986, August.
    5. In Choi, 2023. "Does climate change affect economic data?," Empirical Economics, Springer, vol. 64(6), pages 2939-2956, June.
    6. Marcus Scheiblecker, 2004. "The Working-Day Effect in the Austrian Economy," Austrian Economic Quarterly, WIFO, vol. 9(1), pages 14-23, February.
    7. Giusti, Antonio & Grassini, Laura & Viviani, Alessandro, 2013. "Information sources on tourism demand: a comparison," MPRA Paper 48572, University Library of Munich, Germany.
    8. Javier J. Pérez & Jesús Rodríguez López & Carlos Usabiaga, 2002. "Análisis Dinámico de la Relación entre Ciclo Económico y Ciclo del Desempleo en Andalucía en Comparación con el Resto de España," Economic Working Papers at Centro de Estudios Andaluces E2002/07, Centro de Estudios Andaluces.
    9. Aslihan Atabek & Oguz Atuk & Evren Erdogan Cosar & Cagri Sarikaya, 2009. "Mevsimsel Modellerde Calisma Gunu Degiskeni," CBT Research Notes in Economics 0903, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    10. Kaiser Remiro, Regina & Maravall, Agustín, 1999. "Short-term and long-term trends, seasonal and the business cycle," DES - Working Papers. Statistics and Econometrics. WS 6291, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. José Antonio Camuñez Ruiz & Germán Ramos Campos, 2024. "Analysis of temporal evolution of tourist visits to the region of Morón de la Frontera (Spain). Two possible explanatory variables of this evolution," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(2), pages 17-31.
    12. Michal Tvrdoň, 2015. "Decomposition of Unemployment: The Case of the Visegrad group countries," Working Papers 0005, Silesian University, School of Business Administration.
    13. Villarreal, Francisco G., 2014. "Monetary Policy and Inequality in Mexico," MPRA Paper 57074, University Library of Munich, Germany.
    14. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, University Library of Munich, Germany.
    15. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    16. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
    17. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    18. Ece Oral & Dilara Ece & Turknur Hamsici, 2005. "Building Up a Real Sector Business Confidence Index for Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 5(1), pages 23-54.
    19. Lutero, Giancarlo & Piovani, Alessandro, 2025. "Several seasonal adjustment strategies in problematic contexts," MPRA Paper 123354, University Library of Munich, Germany.
    20. Oguz Atuk & Beyza Pinar Ural, 2002. "Seasonal Adjustment Methods : An Application to the Turkish Monetary Aggregates," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(1), pages 21-37.
    21. Oviedo Gómez, Andrés Felipe & Sierra, Lya Paola, 2019. "The importance of terms of trade in the Colombian economy," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
    22. Stephen Pollock, 2001. "Improved Frequency-selective Filters," Working Papers 449, Queen Mary University of London, School of Economics and Finance.
    23. Agustín Maravall Herrero & Domingo Pérez Cañete, 2011. "Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series," Working Papers 1116, Banco de España.
    24. Carrera, Cesar & Ledesma, Alan, 2015. "Proyección de la inflación agregada con modelos de vectores autorregresivos bayesianos," Working Papers 2015-003, Banco Central de Reserva del Perú.
    25. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 50, Peruvian Economic Association.
    26. Cagri Sarikaya & Fethi Ogunc & Dilara Ece & Hakan Kara & Umit Ozlale, 2005. "Estimating Output Gap for the Turkish Economy," Working Papers 0503, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    27. Hakan Kara & Fethi Öğünç & ümit Özlale & Çağrı Sarıkaya, 2007. "Estimating the Output Gap in a Changing Economy," Southern Economic Journal, John Wiley & Sons, vol. 74(1), pages 269-289, July.
    28. Agustín Maravall & Fernando J. Sánchez, 2000. "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers 0014, Banco de España.
    29. Luis J. Álvarez & María de los Llanos Matea, 1999. "Underlying Inflation Measures in Spain," Working Papers 9911, Banco de España.
    30. Oviedo Gómez, Andrés Felipe & Sierra, Lya Paola, 2019. "Importancia de los términos de intercambio en la economía colombiana," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
    31. Mamadou-Diéne Diop & Jules Sadefo Kamdem, 2023. "Multiscale Agricultural Commodities Forecasting Using Wavelet-SARIMA Process," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 1-40, March.

  18. Víctor Gómez & Agustín Maravall, 1998. "Automatic Modeling Methods for Univariate Series," Working Papers 9808, Banco de España.

    Cited by:

    1. Carlos, Thiago Carlomagno & Marçal, Emerson Fernandes, 2013. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Textos para discussão 346, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    2. Olivier Darn & Levy-Rueff, O. & Adrian Pop, 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    3. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany.
    4. Alonso, A.M. & Berrendero, J.R. & Hernandez, A. & Justel, A., 2006. "Time series clustering based on forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 762-776, November.
    5. Cuevas Ángel & Quilis Enrique M. & Espasa Antoni, 2015. "Quarterly Regional GDP Flash Estimates by Means of Benchmarking and Chain Linking," Journal of Official Statistics, Paradigm, vol. 31(4), pages 627-647, December.
    6. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Too many skew normal distributions? The practitioner’s perspective," Discussion Papers in Economics 13/07, Division of Economics, School of Business, University of Leicester.
    7. Ollech, Daniel, 2018. "Seasonal adjustment of daily time series," Discussion Papers 41/2018, Deutsche Bundesbank.
    8. Meyler, Aidan & Kenny, Geoff & Quinn, Terry, 1998. "Forecasting irish inflation using ARIMA models," MPRA Paper 11359, University Library of Munich, Germany.
    9. Giusti, Antonio & Grassini, Laura & Viviani, Alessandro, 2013. "Information sources on tourism demand: a comparison," MPRA Paper 48572, University Library of Munich, Germany.
    10. Joan Paredes & Diego J. Pedregal & Javier J. Pérez, 2009. "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Working Papers 0935, Banco de España.
    11. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009.
    12. Meyler, Aidan, 1999. "The non-accelerating inflation rate of unemployment (NAIRU) in a small open economy: The irish context," MPRA Paper 11363, University Library of Munich, Germany.
    13. Bhaghoe, Sailesh, 2018. "A Monthly Economic Activity Index System for Suriname," EconStor Preprints 226693, ZBW - Leibniz Information Centre for Economics.
    14. Basher, Syed Abul & Fachin, Stefano, 2011. "The long-run relationship between savings and investment in oil-exporting developing countries: A case study of the Gulf Arab States," MPRA Paper 29077, University Library of Munich, Germany.
    15. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    16. Friedrich Fritzer & Gabriel Moser & Johann Scharler, 2002. "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische Nationalbank (Austrian Central Bank).
    17. Kaiser Remiro, Regina & Maravall, Agustín, 1999. "Seasonal outliers in time series," DES - Working Papers. Statistics and Econometrics. WS 6333, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Division of Economics, School of Business, University of Leicester.
    19. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 2008 - 2015 219, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    20. Trapero, Juan R. & Pedregal, Diego J., 2009. "Frequency domain methods applied to forecasting electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 727-735, September.
    21. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
    22. Syed Basher & Stefano Fachin, 2012. "Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries," DSS Empirical Economics and Econometrics Working Papers Series 2012/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    23. Stefania D'Amico & Athanasios Orphanides, 2008. "Uncertainty and disagreement in economic forecasting," Finance and Economics Discussion Series 2008-56, Board of Governors of the Federal Reserve System (U.S.).
    24. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
    25. 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.
    26. Kimolo, Deogratius, 2009. "Modelling and Forecasting Inflation in Tanzania: A Univariate Time Series Analysis," MPRA Paper 114782, University Library of Munich, Germany.
    27. Agustín Maravall & Fernando J. Sánchez, 2000. "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers 0014, Banco de España.
    28. Ghassan, Hassan B. & Alhajhoj, Hassan R., 2012. "Long Run Relationship between IFDI and Domestic Investment in GCC Countries," MPRA Paper 62544, University Library of Munich, Germany, revised Jul 2013.

  19. Víctor Gómez & Agustín Maravall, 1998. "Guide for Using the Programs TRAMO and SEATS (Beta Version: December 1997)," Working Papers 9805, Banco de España.

    Cited by:

    1. Ivan Roberts & Graham White, 2015. "Seasonal Adjustment of Chinese Economic Statistics," RBA Research Discussion Papers rdp2015-13, Reserve Bank of Australia.
    2. Cuevas Ángel & Quilis Enrique M. & Espasa Antoni, 2015. "Quarterly Regional GDP Flash Estimates by Means of Benchmarking and Chain Linking," Journal of Official Statistics, Paradigm, vol. 31(4), pages 627-647, December.
    3. Abdullah Alhassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 2009/073, International Monetary Fund.
    4. Themistocles Kokolakakis & Fernando Lera-Lopez, 2020. "Sport Promotion through Sport Mega-Events. An Analysis for Types of Olympic Sports in London 2012," IJERPH, MDPI, vol. 17(17), pages 1-17, August.
    5. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "An application of tramo-seats: changes in seasonality and current trend-cycle assesment: the german retail trade turnover series," DES - Working Papers. Statistics and Econometrics. WS 10010, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Anton I. Votinov & Ivan P. Stankevich, 2017. "VAR Approach to Efficiency Evaluation of Fiscal Economy Encouragement Measures," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 64-74, December.
    7. Fernández-Durán, J.J., 2014. "Modeling seasonal effects in the Bass Forecasting Diffusion Model," Technological Forecasting and Social Change, Elsevier, vol. 88(C), pages 251-264.

  20. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España.

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Department of Economics.
    2. Monika Ruschinski, 2006. "Investigating the Cyclical Properties of World Trade," ifo Working Paper Series 30, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    3. Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
    4. Cécile Denis & Daniel Grenouilleau & Kieran Mc Morrow & Werner Röger, 2006. "Calculating potential growth rates and output gaps - A revised production function approach," European Economy - Economic Papers 2008 - 2015 247, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    5. Jin-Lung Lin & Tian- Syh Liu, 2003. "Modeling lunar calendar effects in taiwan," Econometrics 0306005, University Library of Munich, Germany.
    6. Kieran Mc Morrow & Werner Roeger, 2001. "Potential Output: Measurement Methods, "New" Economy Influences and Scenarios for 2001-2010 - A comparison of the EU-15 and the US," European Economy - Economic Papers 2008 - 2015 150, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    7. Flaig Gebhard, 2003. "Seasonal and Cyclical Properties of Ifo Business Test Variables / Saisonale und zyklische Eigenschaften von ifo Konjunkturtest Variablen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 223(5), pages 556-570, October.
    8. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    9. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
    10. del Barrio Castro, Tomas & Pons Fanals, Ernest & Surinach Caralt, Jordi, 2002. "The effects of working with seasonally adjusted data when testing for unit root," Economics Letters, Elsevier, vol. 75(2), pages 249-256, April.
    11. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. Julien Garnier & Bjørn-Roger Wilhelmsen, 2005. "The natural real interest rate and the output gap in the euro area: A joint estimation," Working Paper 2005/14, Norges Bank.
    13. Emanuela Marrocu, 2006. "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, vol. 31(4), pages 801-820, November.
    14. Carmine Pappalardo & Gianfranco Piras, 2004. "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers 42, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    15. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España.
    16. Yin-Wong Cheung & Frank Westermann, 2001. "Sectoral Trends and Cycles in Germany," CESifo Working Paper Series 502, CESifo.
    17. Veronica John Muellbauer & Veronica David M Williams, 2012. "Credit conditions and the real economy: the elephant in the room," BIS Papers chapters, in: Bank for International Settlements (ed.), Property markets and financial stability, volume 64, pages 95-101, Bank for International Settlements.
    18. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    19. Cécile Denis & Kieran Mc Morrow & Werner Röger, 2002. "Production function approach to calculating potential growth and output gaps - estimates for the EU Member States and the US," European Economy - Economic Papers 2008 - 2015 176, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    20. Lawrence J. Christiano & Richard M. Todd, 2000. "The Conventional Treatment of Seasonality in Business Cycle Analysis: Does it Create Distortions?," NBER Technical Working Papers 0266, National Bureau of Economic Research, Inc.
    21. Parigi, Giuseppe & Siviero, Stefano, 2001. "An investment-function-based measure of capacity utilisation.: Potential output and utilised capacity in the Bank of Italy's quarterly model," Economic Modelling, Elsevier, vol. 18(4), pages 525-550, December.
    22. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    23. Élisabeth Fonteny, 2006. "La désaisonnalisation des séries d agrégats mon taires et de Crédit à la Banque de France : aspects Théoriques et mise en oeuvre," Working papers 147, Banque de France.
    24. Robert A. Hart & J Malley (University of Glasgow), 1996. "Labor Productivity and the Cycle," Working Papers 9613, Business School - Economics, University of Glasgow.
    25. Gebhard Flaig, 2003. "Time Series Properties of the German Monthly Production Index," CESifo Working Paper Series 833, CESifo.
    26. Gebhard Flaig, 2001. "Trend and Cycles in U.S. Real GDP," CESifo Working Paper Series 607, CESifo.
    27. Alexandros E. Milionis, 2003. "Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach," Working Papers 07, Bank of Greece.
    28. Gebhard Flaig & Claudia Plötscher, 2000. "Estimating the Output Gap Using Business Survey Data - A Bivariate Structural Time Series Model for the German Economy," CESifo Working Paper Series 233, CESifo.
    29. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    30. 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.
    31. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
    32. Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
    33. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
    34. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 276, European Central Bank.
    35. Agustín Maravall & Fernando J. Sánchez, 2000. "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers 0014, Banco de España.
    36. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England Staff Working Paper series 142, Bank of England.
    37. Phinikarides, Alexander & Makrides, George & Zinsser, Bastian & Schubert, Markus & Georghiou, George E., 2015. "Analysis of photovoltaic system performance time series: Seasonality and performance loss," Renewable Energy, Elsevier, vol. 77(C), pages 51-63.
    38. Koopman, S.J. & Franses, Ph.H.B.F., 2001. "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Research Papers EI 2001-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    39. Gebhard Flaig, 2002. "Unoberserved Components Models for Quarterly German GDP," CESifo Working Paper Series 681, CESifo.

  21. Agustín Maravall, 1996. "Short-Term Analysis of Macroeconomic Time Series," Working Papers 9607, Banco de España.

    Cited by:

    1. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    2. Meltem Gulenay Ongan, 2002. "The Seasonal Adjustment of the Consumer and Wholesale Prices : a Comparison of Census X-11, X-12 Arima and Tramo/Seats," Working Papers 0205, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

  22. Agustín Maravall & Daniel Peña, 1996. "Missing Observations and Additive Outliers in Time Series Models," Working Papers 9612, Banco de España.

    Cited by:

    1. Chin Wen Cheong & Ng Sew Lai & Nurul Afidah Mohmad Yusof & Khor Chia Ying, 2012. "Asymmetric Fractionally Integrated Volatility Modelling of Asian Equity Markets under the Subprime Mortgage Crisis," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 70-84, January.
    2. Mohamed El Hedi Arouri & Jamel Jouini & Nhu Tuyen Le & Duc Khuong Nguyen, 2012. "On the Relationship between World Oil Prices and GCC Stock Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 98-120, January.
    3. Delicado, Pedro, 1995. "Predicción con datos faltantes: aplicación a un caso real," DES - Documentos de Trabajo. Estadística y Econometría. DS 3583, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Syed Basher & Stefano Fachin, 2012. "Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries," DSS Empirical Economics and Econometrics Working Papers Series 2012/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    5. Pedro Delicado & Ana Justel, 1997. "Forecasting with missing data: Application to a real case," Economics Working Papers 213, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Alanya-Beltran, Willy, 2022. "Unit roots in lower-bounded series with outliers," Economic Modelling, Elsevier, vol. 115(C).
    7. Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, vol. 88(2), pages 341-363, November.

  23. Agustín Maravall & Cristophe Planas, 1996. "Estimation Error and the Specification of Unobserved Component Models," Working Papers 9608, Banco de España.

    Cited by:

    1. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 1999. "What Drives Private Saving Across the World?," Working Papers Central Bank of Chile 47, Central Bank of Chile.
    2. Andrés Bujosa Brun & Marcos Bujosa Brun & Antonio García-Ferrer, 2013. "Mathematical framework for pseudo-spectra of linear stochastic difference equations," Documentos de Trabajo del ICAE 2013-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised May 2015.
    3. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
    4. 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.
    5. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
    6. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    7. 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.
    8. Kaloyan Ganev, 2004. "Statistical estimates of the deviations from the macroeconomic potential. An application to the economy of Bulgaria," Macroeconomics 0409010, University Library of Munich, Germany.
    9. Tommaso Proietti, 2019. "Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models," CEIS Research Paper 455, Tor Vergata University, CEIS, revised 22 Mar 2019.
    10. 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.
    11. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers 0012, Banco de España.
    12. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Loayza, Norman & Schmidt-Hebbel, Klaus & Serven, Lui, 2000. "Ä»€Ä¹ˆåš›É‡ Æž¨Åš¨Å…¨Ä¸–Ç•Œçš„ǧ ĺºå‚¨È“„ϼŸ," Policy Research Working Paper Series 2309, The World Bank.

  24. Victor Gómez & Agustín Maravall, 1996. "Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)," Working Papers 9628, Banco de España.

    Cited by:

    1. Meléndez, Alexander & Rodríguez, Gabriel, 2025. "Evolving impacts of fiscal policy on macroeconomic fluctuations in Peru," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1135-1158.
    2. Olivier Darn & Levy-Rueff, O. & Adrian Pop, 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    3. Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2010. "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Journal of Policy Modeling, Elsevier, vol. 32(1), pages 98-119, January.
    4. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany.
    5. Ivashchenko, S., 2020. "Long-term growth sources for sectors of Russian economy," Journal of the New Economic Association, New Economic Association, vol. 48(4), pages 86-112.
    6. José M. Ortiz-Villajos & José J. Martos-Gómez, 2024. "Military Technology, Defense Spending and Modernization of the Armed Forces: The Case of Spain, 1891-1935," Defence and Peace Economics, Taylor & Francis Journals, vol. 35(7), pages 883-907, October.
    7. Marcus Scheiblecker, 2003. "Der Arbeitstagseffekt im vierteljährlichen Bruttoinlandsprodukt. Eine empirische Analyse anhand saisonaler Zeitreihenmodelle," WIFO Monatsberichte (monthly reports), WIFO, vol. 76(11), pages 829-839, November.
    8. Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
    9. Edoardo Otrano & Umberto Triacca, 2007. "Testing for Equal Predictability of Stationary ARMA Processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(9), pages 1091-1108.
    10. Olivier Darne & Laetitia Ripoll-Bresson, 2004. "Exchange rate regime classification and real performances: new empirical evidence," Money Macro and Finance (MMF) Research Group Conference 2003 21, Money Macro and Finance Research Group.
    11. V. Ball & Carlos San-Juan-Mesonada & Camilo Ulloa, 2014. "State productivity growth in agriculture: catching-up and the business cycle," Journal of Productivity Analysis, Springer, vol. 42(3), pages 327-338, December.
    12. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
    13. Theodosiou, Marina, 2011. "Forecasting monthly and quarterly time series using STL decomposition," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1178-1195, October.
    14. Ortiz-Villajos, José M., 2024. "Dynamics of innovation over time: Evidence from the Spanish business elite," Structural Change and Economic Dynamics, Elsevier, vol. 69(C), pages 378-394.
    15. Alonso, A.M. & Berrendero, J.R. & Hernandez, A. & Justel, A., 2006. "Time series clustering based on forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 762-776, November.
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    67. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
    68. Rodríguez, Gabriel & Castillo B., Paul & Guevara Ruiz, Brenda & Yamuca Salvatierra, Leonela, 2025. "Time-varying transmission of external shocks in Peru: Reassessing the role of monetary policy," Economic Modelling, Elsevier, vol. 152(C).
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    71. Pavel Vidal Alejandro & Lya Paola Sierra Su�rez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodr�guez, 2015. "Indicador mensual de actividad econ�mica (IMAE) para el Valle del Cauca," Borradores de Economia 13610, Banco de la Republica.
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    75. Marczak, Martyna & Proietti, Tommaso, 2016. "Outlier detection in structural time series models: The indicator saturation approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
    76. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 50, Peruvian Economic Association.
    77. Mabruk Billah & Mohammad Enamul Hoque & Ghadeer Kayal, 2025. "Multifractal analysis of GCC banking stock efficiency dynamics: impact of financial stress, economic policy uncertainty, and geopolitical factors," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(3), pages 641-686, September.
    78. Pedro M.D.C.B. Gouveia & Denise R. Osborn & Paulo M.M. Rodrigues, 2008. "Comparing Seasonal Forecasts of Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 102, Economics, The University of Manchester.
    79. Artis, Michael & Nachane, Dilip M & Hoffmann, Mathias & Clavel, Jose Garcia, 2007. "Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications," CEPR Discussion Papers 6517, Centre for Economic Policy Research.
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    86. Brunhart, Andreas, 2019. "Der neue Konjunkturindex "KonSens": Ein gleichlaufender, vierteljährlicher Sammelindikator für Liechtenstein," EconStor Preprints 225261, ZBW - Leibniz Information Centre for Economics.
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    92. Horváth, Áron & Sápi, Zoltán & Révész, Gábor, 2016. "Irodapiaci ciklusok jellemzése a hozam, a bérleti forgalom, az üresedés, a bérleti díjak és az új átadás alapján [Yields, take-up, vacancy, rents and new supply during office-market cycles]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 113-136.
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  25. Fiorentini, G. & Maravall, A., 1995. "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment," Papers 9509, Centro de Estudios Monetarios Y Financieros-.

    Cited by:

    1. Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
    2. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Élisabeth Fonteny, 2006. "La désaisonnalisation des séries d agrégats mon taires et de Crédit à la Banque de France : aspects Théoriques et mise en oeuvre," Working papers 147, Banque de France.
    4. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
    5. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
    6. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
    7. Koopman, S.J. & Franses, Ph.H.B.F., 2001. "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Research Papers EI 2001-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.

  26. Agustin Maravall & David A. Pierce, 1984. "The transmission of data noise into policy noise in monetary control," Special Studies Papers 184, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Adrian Chiu & Tomasz Wieladek, 2012. "Did output gap measurement improve over time?," Discussion Papers 36, Monetary Policy Committee Unit, Bank of England.
    2. Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.
    3. Aguirre, Idoia & Vázquez, Jesús, 2018. "Inflation monitoring in real time: A comparative analysis of the Federal Reserve and the Bank of England," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 200-209.
    4. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    5. F. Javier TRIVEZ & Angel Mauricio REYES & F. Javier ALIAGA, 2009. "MEXICAN MAQUILA INDUSTRY OUTLOOK. A Quantitative Space-Time Analysis," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 9(1).
    6. Jan Capek, 2014. "Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(6), pages 457-475, December.
    7. Steven P. Cassou & C. Patrick Scott & Jesús Vázquez, 2018. "Optimal monetary policy revisited: does considering US real-time data change things?," Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6203-6219, December.
    8. Q. Farooq Akram, 2010. "Policy analysis in real time using IMF's monetary model," Working Paper 2010/10, Norges Bank.
    9. Giampiero M. Gallo & Massimiliano Marcellino, "undated". "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Catarina José, 2004. "Real-Time Quarterly National Accounts," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    11. Dean Croushore & Tom Stark, 1999. "A real-time data set for marcoeconomists: does the data vintage matter?," Working Papers 99-21, Federal Reserve Bank of Philadelphia.
    12. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
    13. Dean Croushore & Tom Stark, 2002. "Is macroeconomic research robust to alternative data sets?," Working Papers 02-3, Federal Reserve Bank of Philadelphia.
    14. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 235-249.
    15. Dean Croushore & Tom Stark, 2000. "A real-time data set for macroeconomists: does data vintage matter for forecasting?," Working Papers 00-6, Federal Reserve Bank of Philadelphia.
    16. Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 239-265, October.
    17. Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.
    18. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    19. Baetje, Fabian & Friedrici, Karola, 2016. "Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence," Economics Letters, Elsevier, vol. 143(C), pages 38-43.

  27. Agustin Maravall & David A. Pierce, 1980. "Errors in preliminary money stock data and monetary aggregate targeting," Special Studies Papers 152, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers 667, Cowles Foundation for Research in Economics, Yale University.

Articles

  1. McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 237-273, July.

    Cited by:

    1. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
    2. Tommaso Proietti, 2019. "Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models," CEIS Research Paper 455, Tor Vergata University, CEIS, revised 22 Mar 2019.

  2. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    See citations under working paper version above.
  3. 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.
    See citations under working paper version above.
  4. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
    See citations under working paper version above.
  5. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 175-206.
    See citations under working paper version above.
  6. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
    See citations under working paper version above.
  7. Maravall, Agustin, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 155-160, April.

    Cited by:

    1. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.

  8. Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, vol. 88(2), pages 341-363, November.

    Cited by:

    1. Carrillo-Tudela, Carlos & Visschers, Ludo, 2013. "Unemployment and endogenous reallocation over the business cycle," ISER Working Paper Series 2013-01, Institute for Social and Economic Research.
    2. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
    3. Shigeru Fujita & Christopher J. Nekarda & Garey Ramey, 2007. "The cyclicality of worker flows: new evidence from the SIPP," Working Papers 07-5, Federal Reserve Bank of Philadelphia.
    4. Brunhes-Lesage, V. & Darné, O., 2008. "Why calculate a business sentiment indicator for services?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 21-30, Autumn.
    5. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    6. Zudi Lu & Y. Hui, 2003. "L 1 linear interpolator for missing values in time series," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 197-216, March.
    7. Andy Lee & John Yick & Yer Van Hui, 2001. "Sensitivity of the portmanteau statistic in time series modeling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 691-702.
    8. 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.
    9. Alonso, Andres M. & Sipols, Ana E., 2008. "A time series bootstrap procedure for interpolation intervals," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1792-1805, January.
    10. Andrés Alonso & Ana Sipols & Silvia Quintas, 2013. "A single-index model procedure for interpolation intervals in time series," Computational Statistics, Springer, vol. 28(4), pages 1463-1484, August.

  9. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.

    Cited by:

    1. Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007. "Studying co-movements in large multivariate models without multivariate modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    2. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    3. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    4. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2019. "Characterizing the financial cycle: Evidence from a frequency domain analysis," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 568-591.
    5. Di Iorio, Francesca & Triacca, Umberto, 2011. "Testing for non-causality by using the Autoregressive Metric," MPRA Paper 29637, University Library of Munich, Germany.
    6. Siem Jan Koopman & John A. D. Aston, 2006. "A non-Gaussian generalization of the Airline model for robust seasonal adjustment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 325-349.
    7. Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
    9. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
    10. Cubadda, Gianluca & Triacca, Umberto, 2011. "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, vol. 28(3), pages 1451-1454, May.
    11. Nunzio Cappuccio & Diego Lubian, 2016. "Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series," Econometrics, MDPI, vol. 4(2), pages 1-11, April.

  10. Maravall, Agustin, 1993. "Stochastic linear trends : Models and estimators," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 5-37, March.

    Cited by:

    1. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016. "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 347-373, February.
    2. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2009. "VARMA models for Malaysian Monetary Policy Analysis," Monash Econometrics and Business Statistics Working Papers 6/09, Monash University, Department of Econometrics and Business Statistics.
    3. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
    4. del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
    5. Raghavan, Mala & Athanasopoulos, George, 2018. "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Working Papers 2018-02, University of Tasmania, Tasmanian School of Business and Economics.
    6. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
    7. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    8. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
    9. Dufour, Jean-Marie & Jouini, Tarek, 2014. "Asymptotic distributions for quasi-efficient estimators in echelon VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 69-86.
    10. Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
    11. Javier Gardeazabal & María Carmen Iglesias, "undated". "oCausan los ciclos del G7 el ciclo español?," Studies on the Spanish Economy 22, FEDEA.
    12. Bujosa, Marcos & Garcia-Ferrer, Antonio & Young, Peter C., 2007. "Linear dynamic harmonic regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 999-1024, October.
    13. Ooms, M. & Hassler, U., 1996. "A Note on the Effect of Seasonal Dummies on the Periodogram Regression," Econometric Institute Research Papers EI 9629-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    14. Michael Pedersen, 2016. "Propagation of inflationary shocks in Chile," Journal Econom a Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(3), pages 004-025, December.
    15. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Working Papers 1320, Department of Applied Economics II, Universidad de Valencia.
    16. Mr. Charalambos G Tsangarides & Mr. Yasser Abdih, 2006. "FEER for the CFA Franc," IMF Working Papers 2006/236, International Monetary Fund.
    17. Ángel Cuevas & Enrique Quilis, 2012. "A factor analysis for the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(3), pages 311-338, September.
    18. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    19. Cuevas Rumín, Ángel & Quilis, Enrique M. & Espasa, Antoni, 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS ws114130, Universidad Carlos III de Madrid. Departamento de Estadística.
    20. Gerba, Eddie, 2015. "Have the US macro-financial linkages changed? The balance sheet dimension," LSE Research Online Documents on Economics 59886, London School of Economics and Political Science, LSE Library.
    21. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
    22. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," Economics Discussion Paper Series 0612, Economics, The University of Manchester.
    23. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
    24. Vinod, H. D. & Basu, Parantap, 1995. "Forecasting consumption, income and real interest rates from alternative state space models," International Journal of Forecasting, Elsevier, vol. 11(2), pages 217-231, June.
    25. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Ciclical patterns of the spanish economy," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 445-473, September.
    26. Víctor M. Guerrero & Adriana Galicia‐Vázquez, 2010. "Trend estimation of financial time series," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 205-223, May.
    27. International Monetary Fund, 2002. "Lithuania: History and Future of the Currency Board Arrangement," IMF Working Papers 2002/127, International Monetary Fund.
    28. Bógalo, Juan & Llada, Martín & Poncela, Pilar & Senra, Eva, 2022. "Seasonality in COVID-19 times," Economics Letters, Elsevier, vol. 211(C).
    29. Guerrero Víctor M. & García Andrea C. & Sainz Esperanza, 2013. "Rapid Estimates of Mexico’s Quarterly GDP," Journal of Official Statistics, Paradigm, vol. 29(3), pages 397-423, June.
    30. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    31. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Ooms, Marius & Hassler, Uwe, 1997. "On the effect of seasonal adjustment on the log-periodogram regression," Economics Letters, Elsevier, vol. 56(2), pages 135-141, October.
    33. Enrique Alberola & Susana G. Cervero & Humberto Lopez & Angel Ubide, 2000. "Global Equilibrium Exchange Rates: Euro, Dollar, "Ins," "Outs," and Other Major Currencies in a Panel Cointegration Framework," Econometric Society World Congress 2000 Contributed Papers 0051, Econometric Society.
    34. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.
    35. Michael Pedersen, 2010. "Propagation of Inflationary Shocks in Chile and an International Comparison of Progagation of Shocks to food and Energy Prices," Working Papers Central Bank of Chile 566, Central Bank of Chile.
    36. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    37. Peter Young, 1999. "Recursive and en-bloc approaches to signal extraction," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 103-128.
    38. Víctor Guerrero & Fabio Nieto, 1999. "Temporal and contemporaneous disaggregation of multiple economic time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 459-489, December.
    39. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
    40. Enrique M. Quilis(1), "undated". "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.
    41. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England Staff Working Paper series 142, Bank of England.
    42. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
    43. Victor M. Guerrero, 2008. "Estimating Trends with Percentage of Smoothness Chosen by the User," International Statistical Review, International Statistical Institute, vol. 76(2), pages 187-202, August.
    44. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.
    45. Chiara PERONI, 2010. "Testing Linearity in Term Structures," EcoMod2010 259600130, EcoMod.
    46. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
    47. Marcos Bujosa & Antonio García Ferrer & Peter Young, 2002. "An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: New Algorithms and Examples," Documentos de Trabajo del ICAE 0204, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

  11. Maravall, Agustin, 1989. "On the dynamic structure of a seasonal component," Journal of Economic Dynamics and Control, Elsevier, vol. 13(1), pages 81-91, January.

    Cited by:

    1. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.

  12. Maravall, Agustin, 1988. "A note on minimum mean squared error estimation of signals with unit roots," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 589-593.

    Cited by:

    1. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
    2. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
    3. Kaiser Remiro, Regina & Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.
    5. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1997. "Seasonal Adjustment and Volatility Dynamics," CIRANO Working Papers 97s-39, CIRANO.

  13. Maravall, Agustin, 1987. "Minimum Mean Squared Error Estimation of the Noise in Unobserved Component Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 115-120, January.

    Cited by:

    1. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
    3. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
    4. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.
    5. Broto, Carmen & Ruiz Ortega, Esther, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Maravall, Agustín & Peña, Daniel, 1992. "Missing observations and additive outliers in time series models," UC3M Working papers. Economics 2888, Universidad Carlos III de Madrid. Departamento de Economía.
    7. 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.
    8. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.
    9. Agustín Maravall Herrero & Domingo Pérez Cañete, 2011. "Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series," Working Papers 1116, Banco de España.
    10. Agustín Maravall & Fernando J. Sánchez, 2000. "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers 0014, Banco de España.
    11. Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.

  14. Maravall, Agustin & Pierce, David A, 1986. "The Transmission of Data Noise into Policy Noise in U.S. Monetary Control," Econometrica, Econometric Society, vol. 54(4), pages 961-979, July.
    See citations under working paper version above.
  15. Maravall, Agustin, 1985. "On Structural Time Series Models and the Characterization of Components," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 350-355, October.

    Cited by:

    1. D.S.G. Pollock, 2017. "Trends Cycles And Seasons: Econometric Methods Of Signal Extraction," Discussion Papers in Economics 17/02, Division of Economics, School of Business, University of Leicester.
    2. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
    3. Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, January.
    4. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
    6. José Antonio Camuñez Ruiz & Germán Ramos Campos, 2024. "Analysis of temporal evolution of tourist visits to the region of Morón de la Frontera (Spain). Two possible explanatory variables of this evolution," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(2), pages 17-31.
    7. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España.
    8. Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
    9. Dadashova, Bahar & Ramírez Arenas, Blanca & McWilliams Mira, José & Izquierdo Aparicio, Francisco, 2014. "Explanatory and prediction power of two macro models. An application to van-involved accidents in Spain," Transport Policy, Elsevier, vol. 32(C), pages 203-217.
    10. Philip Hans Franses & Yoshinori Kawasaki, 2004. "Do seasonal unit roots matter for forecasting monthly industrial production?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 77-88.
    11. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    12. Danny Pfeffermann, 2022. "Time series modelling of repeated survey data for estimation of finite population parameters," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 1757-1777, October.
    13. Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
    14. Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010. "Modeling Trigonometric Seasonal Components for Monthly Economic Time Series," Tinbergen Institute Discussion Papers 10-018/4, Tinbergen Institute.
    15. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
    16. Yoshinori Kawasaki & Philip Hans Franses, 2003. "Detecting seasonal unit roots in a structural time series model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(4), pages 373-387.

  16. Maravall, Agustin, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 337-339, October.

    Cited by:

    1. William R. Bell & Eric Ghysels & Hahn Shik Lee, 1997. "Seasonal Time Series and Autocorrelation Function Estimation," CIRANO Working Papers 97s-35, CIRANO.

  17. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.

    Cited by:

    1. Nwokike Chukwudike C. & Ugoala & Chukwuma B. & Obubu Maxwell & Uche-Ikonne Okezie O. & Offorha Bright C. & Ukomah Henry I., 2020. "Forecasting Monthly Prices of Gold Using Artificial Neural Network," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(3), pages 1-2.
    2. Mike Kraehenbuehl & Joerg Osterrieder, 2022. "The Efficient Market Hypothesis for Bitcoin in the context of neural networks," Papers 2208.07254, arXiv.org.
    3. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Franses, P. H., 1990. "Seasonality, Outliers And Linearity," Econometric Institute Archives 272395, Erasmus University Rotterdam.
    5. Peña, Daniel & Rodríguez, Julio, 2000. "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS 10133, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Rossen Anja, 2016. "On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 389-409, May.
    7. Bermejo Mancera, Miguel Ángel & Peña, Daniel & Sánchez, Ismael, 2009. "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS ws097723, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Abdul-Rashid Abdul-Rahaman & Coleman Martha & Emmanuel Caesar Ayamba, 2024. "Exchange Rate Models and the Management of Forex Losses in Ghana: Modelling Exchange Rate Volatilities for Businesses," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 49(4), pages 679-703, November.
    9. Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004 47, Society for Computational Economics.
    10. Philip Rothman, "undated". "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
    11. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
    12. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
    13. Tucker S. McElroy & Dhrubajyoti Ghosh & Soumendra Lahiri, 2024. "Quadratic Prediction of Time Series via Auto-Cumulants," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 86(1), pages 431-463, February.
    14. Brunner, Allan D. & Hess, Gregory D., 1995. "Potential problems in estimating bilinear time-series models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 663-681, May.
    15. Hassan Oukhouya & Aziz Lmakri & Mohamed El Yahyaoui & Raby Guerbaz & Said El Melhaoui & Moustapha Faizi & Khalid El Himdi, 2025. "Predictive modeling for the Moroccan financial market: a nonlinear time series and deep learning approach," Future Business Journal, Springer, vol. 11(1), pages 1-19, December.
    16. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
    17. Pena, Daniel & Rodriguez, Julio, 2005. "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, vol. 21(4), pages 731-748.
    18. Anthony E. Usoro, 2018. "Modelling of Nigeria gross domestic product using seasonal and bilinear autoregressive integrated moving average models," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(2), pages 1-1.
    19. Brockett, Patrick L. & Witt, Robert C. & Golany, Boaz & Sipra, Naim & Xia, Xiaohua, 1996. "Statistical tests of stochastic process models used in the financial theory of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 73-79, May.
    20. Marian Vavra, 2012. "Testing Non-linearity Using a Modified Q Test," Birkbeck Working Papers in Economics and Finance 1204, Birkbeck, Department of Economics, Mathematics & Statistics.
    21. Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.

  18. Maravall, Agustin & Pierce, David A, 1983. "Preliminary-Data Error and Monetary Aggregate Targeting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 179-186, July.

    Cited by:

    1. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
    2. Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 239-265, October.
    3. Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.
    4. Giles, David E. A., "undated". "Some Recent Decelopments in Econometrics: Lessons for Applied Economists," Department of Economics Discussion Papers 262925, University of Canterbury - New Zealand.

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