Consecuencias de la modelizacion ARIMA para la extraccion de senales en coyuntura

Ernest Pons Fanals and Jordi Suriñach

No 52, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In short-term evolution analysis, the economic time series are contamined by different types of noises which need to be erased in order to extract a trend signal. In the last years there has been increasingly developed some methods to estimate unobserved components based on the assumption that the economic series and their components follow ARIMA models. Nevertheless few atention has been focused to the practical consequences that arise from this assumption. In this paper, we discuss about some consequences from the ARIMA model based estimation of trend signal on economic time series, and relate that with its memory characteristics. Finally some of this problems are illustrated with the Spanish Industrial Production Index.

JEL-codes: C22 E3 (search for similar items in EconPapers)
Pages: 0 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bar:bedcje:199952

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