A widely used filter to extract a signal in a time series, in particular in the business cycle analysis, is the Hodrick-Prescott filter. The model that underlies the filter considers the data series as the sum of two unobserved component (signal and non signal) and a smoothing parameter which...

The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this...

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures...

In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a...

The financial time series are often characterized by similar volatility structures. The selection of series having a similar behavior could be important for the analysis of the transmission mechanisms of volatility and to forecast the time series, using the series with more similar structure. In...

A typical problem of the seasonal adjustment procedures arises when the series to be adjusted is subject to structural breaks. In fact, using the full span of the series can result in a biased estimation of the ”true” seasonal adjusted series, with unclear evidence showed by the usual...