Revisión de modelos para la desestacionalización y proyección de series macroeconómicas trimestrales. Año 2021.

Frank, Luis (2021): Revisión de modelos para la desestacionalización y proyección de series macroeconómicas trimestrales. Año 2021.

Abstract

The paper presents a review of the seasonal ARIMA models used to deseasonalize and project the main macroeconomic variables of Argentina. The review was mainly motivated by the impact of the COVID pandemic starting in early 2020. The results confirmed the necessity of the review - despite only four quarters passed since the last revision - and the suitability of the outlier-variables introduced during the pandemic, except for foreign trade series. Nevertheless, a closer inspection of the results show that models should have been revised two or three quarters after the start of the pandemic to ensure that the specifications were consistent with the intervention done on each series.

• Item Type: MPRA Paper
• English Title: Review of models for the seasonal adjustment of monthly and quarterly series of economic activity. Year 2021.
• Language: Spanish
• Keywords: seasonal adjustment of series, seasonal ARIMA
• Subjects: C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access

References

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