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Details about Agustin Maravall

E-mail:
Phone:+34686197426
Workplace:Banco de España (Bank of Spain), (more information at EDIRC)

Access statistics for papers by Agustin Maravall.

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

Short-id: pma1221


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Working Papers

2011

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

2007

  1. Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
    Working Papers, Banco de España Downloads View citations (20)
    See also Journal Article in Computational Statistics & Data Analysis (2007)

2005

  1. An application of the Tramo Seats automatic procedure; direct versus indirect adjustment
    Working Papers, Banco de España Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

2004

  1. Combining filter design with model based filtering (with an application to business cycle estimation)
    Working Papers, Banco de España Downloads
    See also Journal Article in International Journal of Forecasting (2005)

2002

  1. A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered
    Working Papers, Banco de España Downloads View citations (6)
  2. An Application of TRAMO-SEATS: Automatic Procedure and Sectoral Aggregation
    Working Papers, Banco de España Downloads View citations (2)

2001

  1. Program TSW Reference Manual
    Working Papers, Banco de España Downloads View citations (11)
  2. Time Aggregation and the Hodrick-Prescott Filter
    Working Papers, Banco de España Downloads View citations (38)

2000

  1. An Application of TRAMO-SEATS: Changes in Seasonality and Current Trend-Cycle Assessment: the German Retail Trade Turnover Series
    Working Papers, Banco de España Downloads View citations (2)
  2. An Application of TRAMO-SEATS: Model Selection and Out-of-Sample Performance: the Swiss CPI Series
    Working Papers, Banco de España Downloads View citations (4)
  3. Notes on Time Series Analysis, ARIMA Models and Signal Extraction
    Working Papers, Banco de España Downloads View citations (5)

1999

  1. An Application of TRAMO and SEATS: Report for the "Seasonal Adjustment Research Appraisal" Project
    Working Papers, Banco de España View citations (1)
  2. Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter
    Working Papers, Banco de España View citations (37)
    See also Journal Article in Spanish Economic Review (1999)
  3. Missing observations in ARIMA models: Skipping strategy versus outlier approach
    Working Papers, Banco de España View citations (5)
  4. Seasonal Outliers in Time Series
    Working Papers, Banco de España View citations (4)
  5. Short-Term and Long-Term Trends, Seasonal Adjustment, and the Business Cycles
    Working Papers, Banco de España View citations (2)

1998

  1. Automatic Modeling Methods for Univariate Series
    Working Papers, Banco de España View citations (18)
  2. Guide for Using the Programs TRAMO and SEATS (Beta Version: December 1997)
    Working Papers, Banco de España View citations (5)
  3. Seasonal Adjustment and Signal Extraction in Economic Time Series
    Working Papers, Banco de España View citations (21)

1996

  1. Estimation Error and the Specification of Unobserved Component Models
    Working Papers, Banco de España View citations (1)
    See also Journal Article in Journal of Econometrics (1999)
  2. Missing Observations and Additive Outliers in Time Series Models
    Working Papers, Banco de España View citations (2)
  3. Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)
    Working Papers, Banco de España View citations (47)
  4. Short-Term Analysis of Macroeconomic Time Series
    Working Papers, Banco de España View citations (2)
  5. Unobserved Components in Economic Time Series
    Working Papers, Banco de España View citations (40)

1995

  1. Unobserved Components in ARCH Models: An Application to Seasonal Adjustment
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)

1984

  1. 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 in Econometrica (1986)

1981

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

1980

  1. 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

  1. 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.)
  2. 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

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

1976

  1. 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), 37 Downloads View citations (1)

2007

  1. Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
    Computational Statistics & Data Analysis, 2007, 52, (2), 975-998 Downloads View citations (16)
    See also Working Paper (2007)

2006

  1. An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
    Computational Statistics & Data Analysis, 2006, 50, (9), 2167-2190 Downloads View citations (14)
    See also Working Paper (2005)

2005

  1. Combining filter design with model-based filtering (with an application to business-cycle estimation)
    International Journal of Forecasting, 2005, 21, (4), 691-710 Downloads View citations (16)
    See also Working Paper (2004)

1999

  1. Estimation error and the specification of unobserved component models
    Journal of Econometrics, 1999, 92, (2), 325-353 Downloads View citations (14)
    See also Working Paper (1996)
  2. Estimation of the business cycle: A modified Hodrick-Prescott filter
    Spanish Economic Review, 1999, 1, (2), 175-206 Downloads View citations (52)
    See also Working Paper (1999)

1998

  1. Missing observations in ARIMA models: Skipping approach versus additive outlier approach
    Journal of Econometrics, 1998, 88, (2), 341-363 Downloads View citations (9)
  2. New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment
    Journal of Business & Economic Statistics, 1998, 16, (2), 155-60

1994

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

1993

  1. Stochastic linear trends: Models and estimators
    Journal of Econometrics, 1993, 56, (1-2), 5-37 Downloads View citations (48)

1989

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

1988

  1. 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 Downloads View citations (5)

1987

  1. Minimum Mean Squared Error Estimation of the Noise in Unobserved Component Models
    Journal of Business & Economic Statistics, 1987, 5, (1), 115-20 View citations (11)

1986

  1. An application of model-based estimation of unobserved components
    International Journal of Forecasting, 1986, 2, (3), 305-318 Downloads
  2. The Transmission of Data Noise into Policy Noise in U.S. Monetary Control
    Econometrica, 1986, 54, (4), 961-79 Downloads View citations (22)
    See also Working Paper (1984)
  3. Una medida de volatilidad en series temporales con una aplicación al control monetario en España
    Investigaciones Economicas, 1986, 10, (1), 185-199 Downloads

1985

  1. 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 Downloads
  2. On Structural Time Series Models and the Characterization of Components
    Journal of Business & Economic Statistics, 1985, 3, (4), 350-55 View citations (15)

1984

  1. 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

  1. An Application of Nonlinear Time Series Forecasting
    Journal of Business & Economic Statistics, 1983, 1, (1), 66-74 View citations (18)
  2. Preliminary-Data Error and Monetary Aggregate Targeting
    Journal of Business & Economic Statistics, 1983, 1, (3), 179-86 View citations (2)

1981

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

1980

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

1976

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

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 Downloads

Software Items

 
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