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Revisión de modelos para la desestacionalización y proyección de series macroeconómicas trimestrales. Año 2021
[Review of models for the seasonal adjustment of monthly and quarterly series of economic activity. Year 2021]

Author

Listed:
  • Frank, Luis

Abstract

The paper presents a review of the seasonal ARIMA models used to deseasonalize and project the main macroeconomic variables of Argentina. The review was mainly motivated by the impact of the COVID pandemic starting in early 2020. The results confirmed the necessity of the review - despite only four quarters passed since the last revision - and the suitability of the outlier-variables introduced during the pandemic, except for foreign trade series. Nevertheless, a closer inspection of the results show that models should have been revised two or three quarters after the start of the pandemic to ensure that the specifications were consistent with the intervention done on each series.

Suggested Citation

  • Frank, Luis, 2021. "Revisión de modelos para la desestacionalización y proyección de series macroeconómicas trimestrales. Año 2021 [Review of models for the seasonal adjustment of monthly and quarterly series of econo," MPRA Paper 112278, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:112278
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    File URL: https://mpra.ub.uni-muenchen.de/112278/1/MPRA_paper_112278.pdf
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    References listed on IDEAS

    as
    1. Frank, Luis, 2020. "Nota metodológica sobre la proyección de exportaciones de bienes y servicios reales [Methodological Note on the Projection of Exports of Goods and Real Services]," MPRA Paper 111424, University Library of Munich, Germany.
    2. Frank, Luis, 2020. "Revisión de modelos para la desestacionalización de series mensuales y trimestrales de actividad económica [Review of models for the seasonal adjustment of monthly and quarterly series of economic ," MPRA Paper 111423, University Library of Munich, Germany.
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    Cited by:

    1. Frank, Luis, 2021. "Revisión de modelos para ajuste estacional y proyección de sectores de actividad del EMAE. Año 2021 [Review of models for seasonal adjustment and projection of EMAE activity sectors. Year 2021]," MPRA Paper 112285, University Library of Munich, Germany.

    More about this item

    Keywords

    seasonal adjustment of series; seasonal ARIMA;

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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