Autori
Maravall, Augustin
Gomez, Victor

Titolo
Program seats 'signal extraction in Arima time series': instructions for the user
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1994 - Fascicolo: 28 - Pagina iniziale: 1 - Pagina finale: 34

Seats is a program for estimation of unobserved components in univariate time series following the ARiMA-model-based method. It originated from a seasonal adjustment program developed by J.P. Burman at the Bank of England. The program fits, first, an A rima model, identifies the components present in the series, and derives their models. These components are typically the trend, seasonal, and irregular components, although a separate cyclical component can also be estimated. Minimum mean square error (Mmse) estimates of the components are computed, as well as their forecasts. For each component, standard errors are provided for the different types of estimators (concurrent, preliminary, and historical or final estimator) and for the forecasts. Mmse estimates of the component pseudoinnovations are also computed. The program contains a detailed diagnosis, and a detailed analysis of the revisions in the preliminary estimators, of the measurement errors in the component estimators, and of the effect of these errors on the precision of the rates of growth used in short-term monitoring. In its present form, Seats can be used for in-depth analysis of a few series, or for routine applications to a large number of series.



Testo completo: http://hdl.handle.net/1814/507

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