Short-term analysis of macroeconomic time series

• Autores: Agustín Maravall
• Localización: Documentos de trabajo - Banco de España, ISSN 0213-2710, Nº 7, 1996, págs. 5-36
• Idioma: inglés
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• Resumen

  • The paper deals with the statistical treatment of macroeconomic data for short-run economic analysis, monitoring and control. The main applications are short-term forecasting and unobserved components estimation, including trend and cycle estimation, and, most often, seasonal adjustment. The paper briefly reviews some of the recent developments in the field, both at the methodological and applied levels. Then, it is argued that a fairly general approach, based on signal extraction methods and ARlMA models, will gradually spread as the dominant methodology. The last section contains a word of caution, and illustrates the danger of applying these short-term statistical tools to long-term economic analysis.