Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series
The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area Industrial Production (EPI) series. Because a seasonal component is unobserved and undefi ned, it is diffi cult to compare results from different adjustment methods. Within the regARIMA model-based approach, however, a framework for systematic analysis and comparison of results is indeed present. The EPI series is analyzed under the TRAMO-SEATS framework. The purpose of the analysis is not to compare alternative methods, but to show how the results of the model-based analysis can be exploited at the identifi cation, diagnostics, and inference stages of modeling, and in the selection of an appropiate seasonal adjustment (and underlying model). Despite the uncertainty induced by the crisis (and the revisions to the unadjusted data), the automatic procedure, with ramps to capture the spectacular 2008 drop in the series, provides excellent and stable results.
|Date of creation:||Jul 2011|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.bde.es/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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;Working Papers Homepage.
- McElroy, Tucker, 2008. "Matrix Formulas For Nonstationary Arima Signal Extraction," Econometric Theory, Cambridge University Press, vol. 24(04), pages 988-1009, August.
- McElroy Tucker & Wildi Marc, 2010. "Signal Extraction Revision Variances as a Goodness-of-Fit Measure," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-32, June.
- Javier Andrés & Óscar Arce & Carlos Thomas, 2013.
"Banking Competition, Collateral Constraints, and Optimal Monetary Policy,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 45(s2), pages 87-125, December.
- Javier Andrés & Óscar Arce & Carlos Thomas, 2010. "Banking competition, collateral constraints and optimal monetary policy," Working Papers 1001, Banco de España;Working Papers Homepage.
- Víctor Gómez & Agustín Maravall, 1998. "Seasonal Adjustment and Signal Extraction in Economic Time Series," Working Papers 9809, Banco de España;Working Papers Homepage.
- 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 115-20, January.
When requesting a correction, please mention this item's handle: RePEc:bde:wpaper:1116. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España)
If references are entirely missing, you can add them using this form.