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Modelling trigonometric seasonal components for monthly economic time series
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Hindrayanto, Irma, Aston, John A. D., Koopman, Siem Jan and Ooms, Marius (2013) Modelling trigonometric seasonal components for monthly economic time series. Applied Economics, Volume 45 (Number 21). pp. 3024-3034. doi:10.1080/00036846.2012.690937 ISSN 0003-6846.
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Official URL: http://dx.doi.org/10.1080/00036846.2012.690937
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.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Applied Economics | ||||
Publisher: | Taylor & Francis Ltd. | ||||
ISSN: | 0003-6846 | ||||
Official Date: | 2013 | ||||
Dates: |
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Volume: | Volume 45 | ||||
Number: | Number 21 | ||||
Page Range: | pp. 3024-3034 | ||||
DOI: | 10.1080/00036846.2012.690937 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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