Analise de componentes ciclicas em series temporais uni e multivariadas via filtros HP modificados e outros metodos / Cycle components analysis for uni and multivariate time throug modified Hodrick-Prescott filters and other methods

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

The analysis of cycles in time series is considered in this investigation through four methodologies, of which three were more recently developed in literature. The first method, proposed in Kaiser and Maravall (2001), is based on a modification of the unidimensional Hodrick-Prescot filter (HP) through ARIMA models approach. The second method, developed in Mills (2003), consists of a multivaxiate extension of the HP filter, whereas the third method, which follows Durbin and Koopman (2001), decomposes the series through either univariate or multiariate state space models. The fourth method, which is traditional in literature and based on harmonic non-linear regression models, is taken in order to be used as standard reference for comparison. These methods are applied in three Spanish macroeconomic time series (industry production index, cement consumption and airline tickets sales) and two natural phenomena time series (rainfall in Fortaleza/Brazil and sunspot average number). These methodologies are examined with respect the facilities of the implementation, forecasting and description capability, and the quality of the estimated cycle component

ASSUNTO(S)

chuvas - periodicidade series temporais manchas solares time series rain and rainfall cycles sunspot numbers

ACESSO AO ARTIGO

Documentos Relacionados