Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
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- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013. "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
References listed on IDEAS
- Harvey, Andrew, 2001. "Testing in Unobserved Components Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 1-19, January.
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"Time Series Analysis by State Space Methods,"
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- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
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- Castillo-Manzano, José I. & Pedregal, Diego J. & Pozo-Barajas, Rafael, 2016. "An econometric evaluation of the management of large-scale transport infrastructure in Spain during the great recession: Lessons for infrastructure bubbles," Economic Modelling, Elsevier, vol. 53(C), pages 302-313.
More about this item
KeywordsFrequency-specific model; Kalman filter; model-based seasonal adjustment; unobserved components time series model.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-ECM-2011-02-26 (Econometrics)
- NEP-ETS-2011-02-26 (Econometric Time Series)
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