Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Modelling trigonometric seasonal components for monthly economic time series. / Hindrayanto, I.; Aston, J.A.D.; Koopman, S.J. et al.
In: Applied Economics, Vol. 45, No. 21, 01.07.2013, p. 3024-3034.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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TY - JOUR
T1 - Modelling trigonometric seasonal components for monthly economic time series
AU - Hindrayanto, I.
AU - Aston, J.A.D.
AU - Koopman, S.J.
AU - Ooms, M.
PY - 2013/7/1
Y1 - 2013/7/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84864022363&partnerID=8YFLogxK
U2 - 10.1080/00036846.2012.690937
DO - 10.1080/00036846.2012.690937
M3 - Journal article
AN - SCOPUS:84864022363
VL - 45
SP - 3024
EP - 3034
JO - Applied Economics
JF - Applied Economics
SN - 0003-6846
IS - 21
ER -