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Short-Term Analysis of Macroeconomic Time Series

Author

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  • Agustín Maravall

Abstract

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.
    • Handle: RePEc:bde:wpaper:9607
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    Citations

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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.
    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.

    More about this item

    Keywords

    MACROECONOMICS; TIME SERIES; ECONOMIC ANALYSIS;
    All these keywords.

    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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