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Métodos para la extracción de señales y para la trimestralización

María Matea Rosa () and Ana Regil
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Ana Regil: Banco de España

No 9415, Working Papers from Banco de España, Working Papers Homepage

Abstract: Using interpolation of the Spanish domestic private consumption deflactor, we review some of the signals extraction techniques, as well as interpolation of time series, i.e. deriving quarterly data from annual data. For the decomposition of a series in its observable components (trend plus cycle, seasonal component and irregular component), there is a wide range of techniques that can be classified in empirical and model-based methods. As the first group, we use X11ARIMA method. While as model-based methods, we discuss the extraction of signals with reduced form models and with structural models form models. Regarding the interpolation procedures, it is reviewed the Denton method and Chow-Lin method. We use indexes of cost of living and consumer price indexes to build an indicator which is used for the interpolation.

Keywords: Interpolation of time series; signals extraction techniques; X11ARIMA method; Denton method; Chow-Lin method; deflator of Spanish domestic private consumption (search for similar items in EconPapers)
JEL-codes: C10 E31 (search for similar items in EconPapers)
Date: 1994
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