Modelling trigonometric seasonal components for monthly economic time series
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this article, we explore a generalization of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal frequen...
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Published in | Applied economics Vol. 45; no. 21; pp. 3024 - 3034 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
Routledge
01.07.2013
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Abstract | The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this article, we explore a generalization of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal frequencies have different variances for their disturbances. The contribution of the article is two-fold. The first aim is to investigate the dynamic properties of this frequency-specific Basic Structural Model (BSM). The second aim is to relate the model to a comparable generalized version of the Airline model developed at the US Census Bureau. By adopting a quadratic distance metric based on the restricted reduced form moving-average representation of the models, we conclude that the generalized models have properties that are close to each other compared to their default counterparts. In some settings, the distance between the models is almost zero so that the models can be regarded as observationally equivalent. An extensive empirical study on disaggregated monthly shipment and foreign trade series illustrates the improvements of the frequency-specific extension and investigates the relations between the two classes of models. |
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AbstractList | The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this article, we explore a generalization of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal frequencies have different variances for their disturbances. The contribution of the article is two-fold. The first aim is to investigate the dynamic properties of this frequency-specific Basic Structural Model (BSM). The second aim is to relate the model to a comparable generalized version of the Airline model developed at the US Census Bureau. By adopting a quadratic distance metric based on the restricted reduced form moving-average representation of the models, we conclude that the generalized models have properties that are close to each other compared to their default counterparts. In some settings, the distance between the models is almost zero so that the models can be regarded as observationally equivalent. An extensive empirical study on disaggregated monthly shipment and foreign trade series illustrates the improvements of the frequency-specific extension and investigates the relations between the two classes of models. Reprinted by permission of Routledge, Taylor and Francis Ltd. The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this article, we explore a generalization of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal frequencies have different variances for their disturbances. The contribution of the article is two-fold. The first aim is to investigate the dynamic properties of this frequency-specific Basic Structural Model (BSM). The second aim is to relate the model to a comparable generalized version of the Airline model developed at the US Census Bureau. By adopting a quadratic distance metric based on the restricted reduced form moving-average representation of the models, we conclude that the generalized models have properties that are close to each other compared to their default counterparts. In some settings, the distance between the models is almost zero so that the models can be regarded as observationally equivalent. An extensive empirical study on disaggregated monthly shipment and foreign trade series illustrates the improvements of the frequency-specific extension and investigates the relations between the two classes of models. |
Author | Ooms, Marius Aston, John A.D. Hindrayanto, Irma Koopman, Siem Jan |
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SubjectTerms | Economic models Foreign trade frequency-specific model Generalized method of moments Kalman filter model-based seasonal adjustment Modelling Principal components analysis Time series U.S.A unobserved components time series model |
Title | Modelling trigonometric seasonal components for monthly economic time series |
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