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Abstract

The Statistical office of the European Communities (EUROSTAT) publishes information on the economies of the Member States using, for some units, model-based procedures to treat several features of economic time series. The quality of the information published is thus related to the capacity of these models; namely univariate ARIMA models with the exogenous regressors, to adequately describe a vast majority of economic time series. We evaluate the capacity on a set of 13, 238 monthly series. The results of our experiment give several messages:

1)The sensitivity of different economic indicators to calendar events can be quantified;
2)The occurrences and the typology of outliers found in practice are detailed
3)Information is obtained about the stationary behaviour of the series
4)The practical relevance of several model specifications can be evaluated
5)The type of misspecifications found is detailed, yielding for example an indication on non-linear patterns actually encountered in monthly series. ries.

Additional information

Authors: PLANAS C, Planistat Luxembourg, J.F.Kennedy Building, (LU);FISCHER B, Planistat Luxembourg, J.F.Kennedy Building, (LU)
Bibliographic Reference: Article: Journal of Official Statistics, vol. 2, No.2 (2000) pp 173-184
Record Number: 200012810 / Last updated on: 2000-11-03
Category: PUBLICATION
Original language: en
Available languages: en
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