Notes on Time Series Analysis, ARIMA Models and Signal Extraction

Regina Kaiser () and Agustin Maravall ()
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Regina Kaiser: Universidad Carlos III de Madrid

No 12, Working Papers from Banco de España

Abstract: Present practice in applied time series work, mostly at economic policy or data producing agencies, relies heavily on using moving average filters to estimate unobserved components in time series, such as the seasonally adjusted series, the trend, or the cycle. The purpose of the present paper is to provide an informal introduction to the time series analysis tools and concepts required by the user or analyst to understand the basic methodology behind the application of filters.

Keywords: time series; economic policy; seasonal fluctuations (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 73 pages
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0012

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