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dc.contributor.authorFIORENTINI, Gabriele
dc.contributor.authorMARAVALL, Agustin
dc.date.accessioned2011-05-09T15:11:45Z
dc.date.available2011-05-09T15:11:45Z
dc.date.issued1996
dc.identifier.citationJournal of Forecasting, 1996, 15, 3, 175-201
dc.identifier.issn0277-6693
dc.identifier.urihttps://hdl.handle.net/1814/16982
dc.description.abstractThe paper deals with unobserved components in ARIMA models with GARCH errors, in the context of an actual application, namely seasonal adjustment of the monthly Spanish money supply series. The series shows clear evidence of (moderate) non-linearity, which does not disappear with simple outlier correction. The GARCH structure explains reasonably well the non-linearity, and this explanation is robust with respect to the GARCH specification. We look at the time variation of the standard error of the adjusted series estimator and show how it can be measured. Next, we look at the implications this variation has on short-term monetary control. The non-linearity seems to have a small effect in practice. It is further seen that the conditional variance of the GARCH process may, in turn, be decomposed into components. In fact, the conditional variance of the money supply series is the sum of a weak linear trend, a strong non-linear seasonal component, and a moderate non-linear irregular component. This information has policy implications: for example, there are periods in the year when policy can be more assertive because information is more precise. Finally, looking at the non-linear components of the money supply it is seen how linear combinations of non-linear series can produce series that behave linearly.
dc.relation.isbasedonhttp://hdl.handle.net/1814/487
dc.titleUnobserved Components in Arch Models: An Application to Seasonal Adjustment
dc.typeArticle
dc.neeo.contributorFIORENTINI|Gabriele|aut|
dc.neeo.contributorMARAVALL|Agustin|aut|
dc.identifier.volume15
dc.identifier.startpage175
dc.identifier.endpage201
eui.subscribe.skiptrue
dc.identifier.issue3
dc.description.versionThe article is a published version of EUI ECO WP; 1994/07


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