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Comparing seasonal components for structural time series models
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Cited by:
- Siem Jan Koopman & Kai Ming Lee, 2009.
"Seasonality with trend and cycle interactions in unobserved components models,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(4), pages 427-448, September.
- Siem Jan Koopman & Kai Ming Lee, 0000. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute.
- Paul Labonne & Martin Weale, 2020. "Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value‐added tax data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1211-1230, June.
- Schanne, N. & Wapler, R. & Weyh, A., 2010.
"Regional unemployment forecasts with spatial interdependencies,"
International Journal of Forecasting, Elsevier, vol. 26(4), pages 908-926, October.
- Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB-Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2008. "Regional unemployment forecasts with spatial interdependencies," IAB-Discussion Paper 200828, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, January.
- Webel, Karsten & Smyk, Anna, 2023. "Towards seasonal adjustment of infra-monthly time series with JDemetra+," Discussion Papers 24/2023, Deutsche Bundesbank.
- Proietti, Tommaso & Pedregal, Diego J., 2023.
"Seasonality in High Frequency Time Series,"
Econometrics and Statistics, Elsevier, vol. 27(C), pages 62-82.
- Tommaso Proietti & Diego J. Pedregal, 2021. "Seasonality in High Frequency Time Series," CEIS Research Paper 508, Tor Vergata University, CEIS, revised 11 Mar 2021.
- Commandeur, Jacques J. F. & Koopman, Siem Jan & Ooms, Marius, 2011. "Statistical Software for State Space Methods," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i01).
- Pennings, Clint L.P. & van Dalen, Jan, 2017. "Integrated hierarchical forecasting," European Journal of Operational Research, Elsevier, vol. 263(2), pages 412-418.
- Riezebos, Jan & Zhu, Stuart X., 2020. "Inventory control with seasonality of lead times," Omega, Elsevier, vol. 92(C).
- Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava, 2020. "Long-term forecasting of El Niño events via dynamic factor simulations," Journal of Econometrics, Elsevier, vol. 214(1), pages 46-66.
- In Choi, 2023. "Does climate change affect economic data?," Empirical Economics, Springer, vol. 64(6), pages 2939-2956, June.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Tucker McElroy & Anindya Roy, 2022. "A Review of Seasonal Adjustment Diagnostics," International Statistical Review, International Statistical Institute, vol. 90(2), pages 259-284, August.
- Proietti Tommaso, 2004. "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-22, May.
- Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
- Filelis - Papadopoulos, Christos K. & Kyziropoulos, Panagiotis E. & Morrison, John P. & O‘Reilly, Philip, 2022. "Modelling and forecasting based on recursive incomplete pseudoinverse matrices," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 197(C), pages 358-376.
- Philip Hans Franses & Yoshinori Kawasaki, 2004. "Do seasonal unit roots matter for forecasting monthly industrial production?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 77-88.
- Gardner, Everette Jr., 2006. "Exponential smoothing: The state of the art--Part II," International Journal of Forecasting, Elsevier, vol. 22(4), pages 637-666.
- 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.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010. "Modeling Trigonometric Seasonal Components for Monthly Economic Time Series," Tinbergen Institute Discussion Papers 10-018/4, Tinbergen Institute.
- Tommaso Proietti, 2012.
"Seasonality, Forecast Extensions And Business Cycle Uncertainty,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, September.
- Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
- Jan G. de Gooijer & Rob J. Hyndman, 2005.
"25 Years of IIF Time Series Forecasting: A Selective Review,"
Tinbergen Institute Discussion Papers
05-068/4, Tinbergen Institute.
- Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
- D. Stephen G. Pollock & Emi Mise, 2022. "A Wiener–Kolmogorov Filter for Seasonal Adjustment and the Cholesky Decomposition of a Toeplitz Matrix," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 913-933, March.
- Proietti, Tommaso & Riani, Marco, 2007. "Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies," MPRA Paper 7862, University Library of Munich, Germany.
- Giacomo Sbrana & Andrea Silvestrini, 2012.
"Temporal aggregation of cyclical models with business cycle applications,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 93-107, March.
- Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Post-Print hal-00809247, HAL.
- Paul Labonne & Martin Weale, 2018. "Temporal disaggregation of overlapping noisy quarterly data using state space models: Estimation of monthly business sector output from Value Added Tax data in the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-18, Economic Statistics Centre of Excellence (ESCoE).
- repec:jss:jstsof:41:i01 is not listed on IDEAS
- Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004. "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers 28/04, Monash University, Department of Econometrics and Business Statistics, revised Oct 2005.
- Andrew Harvey & Stephen Thiele, 2021.
"Cointegration and control: Assessing the impact of events using time series data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 71-85, January.
- Harvey, A. & Thiele, S., 2017. "Co-integration and control: assessing the impact of events using time series data," Cambridge Working Papers in Economics 1731, Faculty of Economics, University of Cambridge.
- Martin Weale & Paul Labonne, 2022. "Nowcasting in the presence of large measurement errors and revisions," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-05, Economic Statistics Centre of Excellence (ESCoE).
- Koenig, P., 2012. "The effect of LNG on the rleationship between UK and Continental European natural gas markets," Cambridge Working Papers in Economics 1253, Faculty of Economics, University of Cambridge.
- repec:wrk:wrkemf:23 is not listed on IDEAS
- Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
- Katharina Hampel & Marcus Kunz & Norbert Schanne & Ruediger Wapler & Antje Weyh, 2006. "Regional Unemployment Forecasting Using Structural Component Models With Spatial Autocorrelation," ERSA conference papers ersa06p196, European Regional Science Association.