Modeling Seasonal Integrated Time Series: the Spanish Industrial Production Index

  • J. L. Gallego-Gómez
Chapter
Part of the Contributions to Economics book series (CE)

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.

Keywords

ARIMA Model Seasonal Component Unobservable Component Partial Autocorrelation Function Seasonal Frequency 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • J. L. Gallego-Gómez
    • 1
  1. 1.University of CantabriaSpain

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