Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies
Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies
Abstract
An important practical problem for statistical agencies and central banks that publish economic data is the seasonal adjustment of mixed frequency stock and flow time series. This may arise in practice due to changes in funding of a particular survey. Mathematically, the problem can be reduced to the need to compute imputations, forecasts, and backcasts from a given model of the highest available frequency data. The nonstationarity of the economic time series coupled with the alteration of sampling frequency makes the problem of model estimation and imputation challenging. For flow data the analysis cannot be recast as a missing value problem, and our methods are needed. We provide explicit formulas and algorithms that allow one to compute the log Gaussian likelihood of the mixed sample, as well as any imputations and forecasts. Formulas for the relevant mean squared error are also derived. We illustrate the techniques on two economic time series.
Others in Series
Working Paper
Diagnostics for Model-Based Seasonal Adjustment
In this paper, we try to identify promising diagnostics for model-based seasonal adjustment.
Working Paper
Comparing the Automatic ARIMA Model Selection Procedures
In this paper, we compare the two automatic modeling procedures.
Working Paper
A Set of Quality Control Statistics for the X-11-ARIMA
The X-11 Variant of the Census Method II Seasonal Adjustment Method contained a summary measures table denoted by F.2.
Related Information
Page Last Revised - October 28, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
