Details about Agustin Maravall

Access statistics for papers by Agustin Maravall.

Last updated 2014-09-02. Update your information in the RePEc Author Service.

Short-id: pma1221

Working Papers

2011

1. Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series
   Working Papers, Banco de España View citations (2)

2007

2. Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
   Working Papers, Banco de España View citations (29)
   See also Journal Article Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter, Computational Statistics & Data Analysis, Elsevier (2007) View citations (22) (2007)

2005

3. An application of the Tramo Seats automatic procedure; direct versus indirect adjustment
   Working Papers, Banco de España View citations (5)
   See also Journal Article An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment, Computational Statistics & Data Analysis, Elsevier (2006) View citations (18) (2006)

2004

4. Combining filter design with model based filtering (with an application to business cycle estimation)
   Working Papers, Banco de España View citations (2)
   See also Journal Article Combining filter design with model-based filtering (with an application to business-cycle estimation), International Journal of Forecasting, Elsevier (2005) View citations (22) (2005)

2002

5. A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered
   Working Papers, Banco de España View citations (16)
6. An Application of TRAMO-SEATS: Automatic Procedure and Sectoral Aggregation
   Working Papers, Banco de España View citations (4)

2001

7. Program TSW Reference Manual
   Working Papers, Banco de España View citations (12)
8. Time Aggregation and the Hodrick-Prescott Filter
   Working Papers, Banco de España View citations (56)

2000

9. An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series
   Working Papers, Banco de España View citations (2)
10. An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series
    Working Papers, Banco de España View citations (4)
11. Notes on Time Series Analysis, ARIMA Models and Signal Extraction
    Working Papers, Banco de España View citations (7)

1999

12. An Application of TRAMO and SEATS: Report for the "Seasonal Adjustment Research Appraisal" Project
    Working Papers, Banco de España View citations (1)
13. Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter
    Working Papers, Banco de España View citations (60)
    See also Journal Article Estimation of the business cycle: A modified Hodrick-Prescott filter, Spanish Economic Review, Springer (1999) View citations (80) (1999)
14. Missing observations in ARIMA models: Skipping strategy versus outlier approach
    Working Papers, Banco de España View citations (11)
15. Seasonal Outliers in Time Series
    Working Papers, Banco de España View citations (6)
16. Short-Term and Long-Term Trends, Seasonal Adjustment, and the Business Cycles
    Working Papers, Banco de España View citations (3)

1998

17. Automatic Modeling Methods for Univariate Series
    Working Papers, Banco de España View citations (30)
18. Guide for Using the Programs TRAMO and SEATS (Beta Version: December 1997)
    Working Papers, Banco de España View citations (7)
19. Seasonal Adjustment and Signal Extraction in Economic Time Series
    Working Papers, Banco de España View citations (32)

1996

20. Estimation Error and the Specification of Unobserved Component Models
    Working Papers, Banco de España View citations (1)
    See also Journal Article Estimation error and the specification of unobserved component models, Journal of Econometrics, Elsevier (1999) View citations (14) (1999)
21. Missing Observations and Additive Outliers in Time Series Models
    Working Papers, Banco de España View citations (6)
22. Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)
    Working Papers, Banco de España View citations (98)
23. Short-Term Analysis of Macroeconomic Time Series
    Working Papers, Banco de España View citations (2)
24. Unobserved Components in Economic Time Series
    Working Papers, Banco de España View citations (43)

1995

25. Unobserved Components in ARCH Models: An Application to Seasonal Adjustment
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (8)

1984

26. The transmission of data noise into policy noise in monetary control
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article The Transmission of Data Noise into Policy Noise in U.S. Monetary Control, Econometrica, Econometric Society (1986) View citations (26) (1986)

1981

27. Uncertainty in the money aggregates: sources, measurement and policy effects
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)

1980

28. Errors in preliminary money stock data and monetary aggregate targeting
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

1978

29. Seasonally adjusted rates of growth versus rates of growth of seasonally adjusted levels: some implications for monetary control
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)
30. Short-run forecasting and seasonal adjustment of demand deposits via sectoral disaggregation by types of holders
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)

1977

31. On modeling unobserved components with time series
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)

1976

32. Estimation of the permanent and transitory component of an economic variable with an application to M1
    Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.)

Journal Articles

2014

1. Optimal Signal Extraction with Correlated Components
   Journal of Time Series Econometrics, 2014, 6, (2), 237-273 View citations (2)

2007

2. Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
   Computational Statistics & Data Analysis, 2007, 52, (2), 975-998 View citations (22)
   See also Working Paper Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter, Working Papers (2007) View citations (29) (2007)

2006

3. An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
   Computational Statistics & Data Analysis, 2006, 50, (9), 2167-2190 View citations (18)
   See also Working Paper An application of the Tramo Seats automatic procedure; direct versus indirect adjustment, Working Papers (2005) View citations (5) (2005)

2005

4. Combining filter design with model-based filtering (with an application to business-cycle estimation)
   International Journal of Forecasting, 2005, 21, (4), 691-710 View citations (22)
   See also Working Paper Combining filter design with model based filtering (with an application to business cycle estimation), Working Papers (2004) View citations (2) (2004)

1999

5. Estimation error and the specification of unobserved component models
   Journal of Econometrics, 1999, 92, (2), 325-353 View citations (14)
   See also Working Paper Estimation Error and the Specification of Unobserved Component Models, Working Papers (1996) View citations (1) (1996)
6. Estimation of the business cycle: A modified Hodrick-Prescott filter
   Spanish Economic Review, 1999, 1, (2), 175-206 View citations (80)
   See also Working Paper Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter, Working Papers (1999) View citations (60) (1999)

1998

7. Missing observations in ARIMA models: Skipping approach versus additive outlier approach
   Journal of Econometrics, 1998, 88, (2), 341-363 View citations (15)
8. New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment
   Journal of Business & Economic Statistics, 1998, 16, (2), 155-60 View citations (1)

1994

9. Encompassing univariate models in multivariate time series: A case study
   Journal of Econometrics, 1994, 61, (2), 197-233 View citations (13)

1993

10. Stochastic linear trends: Models and estimators
    Journal of Econometrics, 1993, 56, (1-2), 5-37 View citations (53)

1989

11. On the dynamic structure of a seasonal component
    Journal of Economic Dynamics and Control, 1989, 13, (1), 81-91 View citations (1)

1988

12. A note on minimum mean squared error estimation of signals with unit roots
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 589-593 View citations (5)

1987

13. Minimum Mean Squared Error Estimation of the Noise in Unobserved Component Models
    Journal of Business & Economic Statistics, 1987, 5, (1), 115-20 View citations (13)

1986

14. An application of model-based estimation of unobserved components
    International Journal of Forecasting, 1986, 2, (3), 305-318
15. The Transmission of Data Noise into Policy Noise in U.S. Monetary Control
    Econometrica, 1986, 54, (4), 961-79 View citations (26)
    See also Working Paper The transmission of data noise into policy noise in monetary control, Special Studies Papers (1984) (1984)
16. Una medida de volatilidad en series temporales con una aplicación al control monetario en España
    Investigaciones Economicas, 1986, 10, (1), 185-199

1985

17. Daniel Peña y Nicolás Sánchez-Albornoz: Dependencia dinámica entre precios agrícolas: el trigo en España, 1857–1890. On estudio empírico, Madrid, Servicio de Estudios del Banco de España (Estudios de Historia Económica), 1983
    Revista de Historia Económica / Journal of Iberian and Latin American Economic History, 1985, 3, (1), 191-193
18. On Structural Time Series Models and the Characterization of Components
    Journal of Business & Economic Statistics, 1985, 3, (4), 350-55 View citations (18)

1984

19. Issues Involved with the Seasonal Adjustment of Economic Time Series: Comment
    Journal of Business & Economic Statistics, 1984, 2, (4), 337-39 View citations (1)

1983

20. An Application of Nonlinear Time Series Forecasting
    Journal of Business & Economic Statistics, 1983, 1, (1), 66-74 View citations (22)
21. Preliminary-Data Error and Monetary Aggregate Targeting
    Journal of Business & Economic Statistics, 1983, 1, (3), 179-86 View citations (4)

1981

22. A note on identification of multivariate time-series models
    Journal of Econometrics, 1981, 16, (2), 237-247

1980

23. Effects of alternative seasonal adjustment procedures on monetary policy
    Journal of Econometrics, 1980, 14, (1), 115-136

1976

24. A note on three-stage least squares estimation
    Journal of Econometrics, 1976, 4, (4), 325-330

Chapters

1978

1. Contributed Comments to "Seasonal Analysis of Economic Time Series"
   A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 461-479