Abstract
In this paper the Box-Jenkins approach to the building of seasonal time series model is extended so that it is adequate to model seasonally integrated time series. To this end, the class of multiplicative ARIMA models is broadened in such a way that it allows to describe time series integrated at a few of the seasonal frequencies. Thus, tests for seasonal unit roots are not considered as a rival modeling approach, but can be used in the identification stage to decide the transformation inducing stationarity. The fit model is used to generate forecasts and to estimate unobservable components. The enhanced Box-Jenkins approach is illustrated modeling the Spanish Industrial Production Index.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
B. Abraham and G. E. P. Box. Deterministic and forecast-adaptive time-dependent models. Applied Statistics, 27:120–130 (1978)
J. J. Beaulieu and J. A. Miron. Seasonal unit roots in aggregate U. S. data. Journal of Econometrics, 55:305–328 (1993)
W. R. Bell and S. C. Hillmer. Modelling time series with calendar variation. Journal of the American Statistical Association, 78(383):526–311, September 1983
G. E. P. Box, G. M. Jenkins, and G. C. Reinsel. Time series analysis, forecasting and control. Prentice Hall, Engle Woods, New Jersey, 3rd edition, 1994
J. P. Burman. Seasonal adjustment by signal extraction. Journal of the Royal Statistical Society A, 143:321–337 (1980)
H. S. Lee E. Ghysels and J. Noh. Testing for unit roots in seasonal time series. Journal of Econometrics, 62:415–442 (1994)
J. L. Gallego. User guide for the arima model building package. Departamento de Economía, Universidad de Cantabria (2000b)
J. L. Gallego. Measuring seasonal variations wit regarima models. Departamento de Economía, Universidad de Cantabria (2000a)
J. L. Gallego and A. B. Treadway. The general family of seasonal stochastic processes. Departamento de Economía (1995)
D. R. Osborn. A survey of seasonality in uk macroeconomic variables. International Journal of Forecasting, 6:336 (1990)
C. Jorgensen S. Hylleberg and N. K. Sorensen. Seasonality in macroeconomic time series. Empirical Economics, 18:321, 325 (1993)
C. W. J. Granger S. Hylleberg, R. F. Engle and B. S. Yoo. Seasonal integration and cointegration. Journal of Econometrics, 44:215–238 (1990)
G. W. Schwert. Tests for unit roots: a monte carlo investigation. Journal of Business and Economic Statistics, 7:147–160 (1989)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Gallego-Gómez, J.L. (2004). Modeling Seasonal Integrated Time Series: the Spanish Industrial Production Index. In: Coto-Millán, P. (eds) Essays on Microeconomics and Industrial Organisation. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2670-8_2
Download citation
DOI: https://doi.org/10.1007/978-3-7908-2670-8_2
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-0104-0
Online ISBN: 978-3-7908-2670-8
eBook Packages: Springer Book Archive