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Short-Term Analysis of Macroeconomic Time Series


  • Agustín Maravall


The paper deals with the statistical treatment of macroeconomic data for short-run economic analysis, monitoring and control. The main applications are short-term forecasting and unobserved components estimation, including trend and cycle estimation, and, most often, seasonal adjustment. The paper briefly reviews some of the recent developments in the field, both at the methodological and applied levels. Then it is argued that a fairly general approach, based on signal extraction methods and ARIMA models, will gradually spread as the dominant methodology

Suggested Citation

  • Agustín Maravall, 1996. "Short-Term Analysis of Macroeconomic Time Series," Working Papers 9607, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:9607

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    References listed on IDEAS

    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. Kocherlakota, Narayana R, 1990. " Disentangling the Coefficient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result," Journal of Finance, American Finance Association, vol. 45(1), pages 175-190, March.
    3. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
    4. Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
    5. Dreze, Jacques H. & Modigliani, Franco, 1972. "Consumption decisions under uncertainty," Journal of Economic Theory, Elsevier, vol. 5(3), pages 308-335, December.
    6. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
    7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    8. Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," Sciences Po publications info:hdl:2441/8686, Sciences Po.
    9. John W. Kendrick, 1976. "The Formation and Stocks of Total Capital," NBER Books, National Bureau of Economic Research, Inc, number kend76-1, January.
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    Cited by:

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

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E00 - Macroeconomics and Monetary Economics - - General - - - General


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