Notes on Time Series Analysis, ARIMA Models and Signal Extraction
Present practice in applied time series work, mostly at economic policy or data producing agencies, relies heavily on using moving average filters to estimate unobserved components in time series, such as the seasonally adjusted series, the trend, or the cycle. The purpose of the present paper is to provide an informal introduction to the time series analysis tools and concepts required by the user or analyst to understand the basic methodology behind the application of filters.
|Date of creation:||2000|
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The Warwick Economics Research Paper Series (TWERPS)
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9608, Banco de España;Working Papers Homepage.
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- David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
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