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Chain linking over December and methodological changes in the HICP : view from a central bank perspective

Dietrich, Andreas; Eiglsperger, Martin; Mehrhoff, Jens; … - 2021

changes is a new series with a very different profile in December - either due to changed seasonality or one-off (sampling …

Persistent link: https://www.econbiz.de/10012426937

Temporal aggregation of univariate and multivariate time series models: A survey

Silvestrini, Andrea; Veredas, David - Banca d'Italia - 2008

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

Persistent link: https://www.econbiz.de/10005609326

Forecasting Inflation : An Art as Well as a Science!

Vlaar, Peter J. G. - 2007

In this study, we build two forecasting models to predict inflation Harmonised Index of Consumer Prices (HICP) for the Netherlands and for the euro area. The models provide point forecasts and prediction intervals for both the components of the HICP and the aggregated HICP-index itself. Both...

Persistent link: https://www.econbiz.de/10012776404

Disentangling the source of non-stationarity in a panel of seasonal data

Hsu, Shih-hsun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012437839

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

Measuring inflation in the EU in times of COVID-19

Lamboray, Claude; Evangelista, Rui; Konijn, Paul - In: Eurostat review on national accounts and macroeconomic … (2020), pp. 35-51

The COVID-19 crisis had a major impact on the measurement of inflation around the world, as price observation in shops became impossible and some markets completely closed down. This article looks at the measures taken during the crisis in 2020 to ensure the continued compilation of the European...

Persistent link: https://www.econbiz.de/10012429644

Chain linking over December and methodological changes in the HICP: View from a central bank perspective

Dietrich, Andreas; Eiglsperger, Martin; Mehrhoff, Jens; … - 2021

changes is a new series with a very different profile in December - either due to changed seasonality or one-off (sampling …

Persistent link: https://www.econbiz.de/10012521172

Temporal aggregaton of univariate linear time series models

Andrea, SILVESTRINI - Institut de Recherche Économique et Sociale (IRES), … - 2005

In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...

Persistent link: https://www.econbiz.de/10004984769

Seasonal adjustment of CPIs during the COVID-19 pandemic and beyond

Arend, Tom - 2024

This paper examines the presence of seasonality in CPI in 36 OECD economies that provide monthly CPI data and reviews … tests points to the presence of seasonality in headline CPI and its components, with stronger seasonality in some components …

Persistent link: https://www.econbiz.de/10015081758

The Effect of Seasonality on Elementary Index

Inoue, Toshikatsu - 2023

In this study, we analyze the effects of seasonal fluctuations on the aggregated price and quantity of goods in Japan. By analyzing monthly commodity-level data used to calculate Japan’s official Consumer Price Index, we demonstrate that a significant number of fresh foods are non-homogeneous...

Persistent link: https://www.econbiz.de/10014255422