We investigate the effects of the misspecification of cointegrating ranks at other frequencies on the inference of seasonal cointegration at the frequency of interest such as test for cointegrating rank and estimation of cointegrating vector. Earlier studies mostly focused on a single frequency...

We shed light on a class of models that increase the flexibility of the seasonal pattern within a framework of the structural time series model. The basic idea is to drive the seasonal summation model by a moving average process rather than by a white noise or an AR process. Generally, such an...

Government statistical agencies are required to seasonally adjust non-stationary time series resulting from an aggregate of a number of cross-sectional time series. Traditionally, this has been achieved using the X-11 or X12-ARIMA process by us- ing either direct or indirect seasonal adjustment....

This paper discusses how to model and forecast a vector of time series sampled at different frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic...

This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a limited information set. We consider a general approach exploring the relevant problems and the possible solutions evidencing that linear models could be the preferred...

Using a standard input-output table with known marginal totals and independent (and unbalanced) estimates in individual cells as a basis, this paper investigates methods by which the cell estimates can be calibrated to the marginal totals. The paper also investigates the use of confidence...

For benchmarking monthly and quarterly series to annual series and to the Economic Census every five years, the U.S. Census Bureau uses an iterative, nonlinear method known as the Causey-Trager method. However, the Census Bureau's X−12−ARIMA seasonal adjustment program uses a modified Denton...