Industrial production data series are volatile and often also cyclical. Hence, univariate time series models which allow for these features are expected to generate relatively accurate forecasts of industrial production. A particular class of unobservable components models -- structural time...

This paper deals with an alternative approach to treating seasonality in error correction models for consumption with a parsimonious parameterization as proposed by Harvey and Scott. We introduce an unobserved seasonal component into an error correction model for Austrian consumer expenditures...

This paper analyzes the nature of seasonal fluctuations in quarterly observations for Austrian consumption and income data. We begin with univariate tests of the order of integration and then move on to tests of cointegration. Seasonally adjusted as well as raw data are used in these tests. In...

The article tests a procedure for spotting and eliminating statistical outliers in economic time series which does not require previous information on the location of outliers and which estimates model parameters and outliers simultaneously. Results for three different time series suggest that...