La désaisonnalisation des séries d’agrégats monétaires et de crédit à la Banque de France : aspects théoriques et mise en oeuvre
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España.
- Gabriele Fiorentini & Agustín Maravall, 1995.
"Unobserved Components in ARCH Models: An Application to Seasonal Adjustment,"
Working Papers
wp1995_9509, CEMFI.
- Fiorentini, G. & Maravall, A., 1995. "Unobserved Components in ARCH Models: An Application to Seasonal Adjustment," Papers 9509, Centro de Estudios Monetarios Y Financieros-.
- Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
- Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Time Series: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 343-349, October.
- Victor Gómez & Agustín Maravall, 1996. "Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)," Working Papers 9628, Banco de España.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Maravall, Agustin, 2006.
"An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment,"
Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2167-2190, May.
- Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Working Papers 0524, Banco de España.
- Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- del Barrio Castro, Tomas & Pons Fanals, Ernest & Surinach Caralt, Jordi, 2002. "The effects of working with seasonally adjusted data when testing for unit root," Economics Letters, Elsevier, vol. 75(2), pages 249-256, April.
- 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.
- Maravall, Agustín, 1999. "Short-term and long-term trends, seasonal and the business cycle," DES - Working Papers. Statistics and Econometrics. WS 6291, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Agustín Maravall & Fernando J. Sánchez, 2000. "An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series," Working Papers 0014, Banco de España.
- Maravall, Agustin & Planas, Christophe, 1999.
"Estimation error and the specification of unobserved component models,"
Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
- Agustín Maravall & Cristophe Planas, 1996. "Estimation Error and the Specification of Unobserved Component Models," Working Papers 9608, Banco de España.
- Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
- Daniel Dzikowski & Carsten Jentsch, 2024. "Structural Periodic Vector Autoregressions," Papers 2401.14545, arXiv.org.
- Thornton, Michael A., 2013. "Removing seasonality under a changing regime: Filtering new car sales," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 4-14.
- Theodosiou, Marina, 2011. "Forecasting monthly and quarterly time series using STL decomposition," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1178-1195, October.
- Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
- Maravall, Agustín, 1999. "Seasonal outliers in time series," DES - Working Papers. Statistics and Econometrics. WS 6333, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Buono, Dario & Alpay, Kocak, 2010. "Backward recalculation of seasonal series affected by economic crisis: a Model-Based-Link method for the case of Turkish GDP," MPRA Paper 40092, University Library of Munich, Germany.
- Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
- Bollerslev, Tim & Ghysels, Eric, 1996.
"Periodic Autoregressive Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- Ghysels, Eric, 1994.
"On the Periodic Structure of the Business Cycle,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-298, July.
- Eric Ghysels, 1992. "On the Periodic Structure of the Business Cycle," Cowles Foundation Discussion Papers 1028, Cowles Foundation for Research in Economics, Yale University.
- Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009.
"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
- Barnett, William A. & de Peretti, Philippe, 2009.
"Admissible Clustering Of Aggregator Components: A Necessary And Sufficient Stochastic Seminonparametric Test For Weak Separability,"
Macroeconomic Dynamics, Cambridge University Press, vol. 13(S2), pages 317-334, September.
- Barnett, William A. & de Peretti, Philippe, 2008. "Admissible clustering of aggregator components: a necessary and sufficient stochastic semi-nonparametric test for weak separability," MPRA Paper 12503, University Library of Munich, Germany.
- Philippe de Peretti & Barnett William, 2009. "Admissible Clustering Of Aggregator Components: A Necessary And Sufficient Stochastic Seminonparametric Test For Weak Separability," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646786, HAL.
- Philippe de Peretti & Barnett William, 2009. "Admissible Clustering Of Aggregator Components: A Necessary And Sufficient Stochastic Seminonparametric Test For Weak Separability," Post-Print halshs-00646786, HAL.
- William Barnett & Philippe de Peretti, 2009. "Admissible Clustering of Aggregator Components: A Necessary and Sufficient Stochastic Semi-Nonparametric Test for Weak Separability," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200904, University of Kansas, Department of Economics, revised Jan 2009.
More about this item
Keywords
Seasonal adjustment methods ; Monetary aggregates ; Outliers ; SARIMA models.;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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:147. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Michael brassart (email available below). General contact details of provider: https://edirc.repec.org/data/bdfgvfr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.