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Working Paper

Using Daily Payment Processor Data

January 2020

Daily retail transaction data provides insight on if and how consumers change spending behaviors around the Super Bowl.

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Working Paper

Testing Collinearity of Vector Time Series

May 10, 2019

Investigating collinearity of vector time series in the frequency domain, by examining the rank of the spectral density matrix at a given frequency of interest.

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Working Paper

Time Series Seasonal Adjustment Using Regularized SVD

February 11, 2019

We propose a new seasonal adjustment method based on the Regularized Singular Value Decomposition of the matrix obtained by reshaping seasonal time series data.

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Working Paper

Constrained Estimation of Causal Invertible VARMA

2019

Presents a reparameterization of vector autoregressive moving aver- age models for parameter estimation under the constraints of causality and invertibility.

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Working Paper

Maximum Entropy Extreme-Value Seasonal Adjustment

2019

Some economic series in small economies exhibit meagre (i.e. non-positive) values, as well as seasonal extremes.

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Working Paper

Modeling of Holiday Effects and Seasonality in Daily Time Series

January 23, 2018

Modeling of Holiday Effects and Seasonality in Daily Time Series

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Working Paper

Seasonal Adjustment Subject to Accounting Constraints

2018

Proposes utilizing adequacy of (disaggregate) component seasonal adjustments, modified by reconciliation, as an additional constraint to the accounting problem.

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Working Paper

The Inverse Kullback-Leibler Method for Fitting Vector Moving Averages

2018

A new method for the estimation of a vector moving average (VMA) process is presented.

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Working Paper

Issues Related to the Modeling and Adjustment of High Frequency Tim...

October 26, 2017

Issues Related to the Modeling and Adjustment of High Frequency Time Series

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Working Paper

Small Area Estimation - State Poverty Rate Model Research Data Files

September 20, 2017

Small Area Estimation - State Poverty Rate Model Research Data Files

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Working Paper

Holiday Effects in Indian Manufacturing Series

August 10, 2017

Holiday Effects in Indian Manufacturing Series

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Working Paper

Multivariate SA, Economic Identities, and Seasonal Taxonomy

April 28, 2017

This article explores the statistical modeling of seasonality jointly across multiple time series, using latent dynamic factor models fitted by MLE.

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Working Paper

Detecting Seasonality in Seasonally Adjusted Monthly Time Series

February 13, 2017

Detecting Seasonality in Seasonally Adjusted Monthly Time Series

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Working Paper

X-13ARIMA-SEATS Reference Manual Accessible HTML Output Version

January 18, 2017

The X-13ARIMA-SEATS seasonal adjustment program is an enhanced version of the X-11 Variant of the Census Method II seasonal adjustment program.

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Working Paper

Detection of Seasonality in the Frequency Domain

January 11, 2017

Detection of Seasonality in the Frequency Domain

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Working Paper

Maximum Entropy-Value Seasonal Adjustment

January 11, 2017

Maximum Entropy-Value Seasonal Adjustment

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Working Paper

Computation of Vector ARMA Autocovariances

January 06, 2017

Describes an algorithm for computing the autocovariance sequence of a VARMA process without requiring the intermediary determination of the Wold representation.

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Working Paper

Recurvsive Computation for Block-Nested Covariance Matrices

2017

Covariance matrices corresponding to samples of multivariate time series or spatial random fields have a block-Toeplitz structure that has a nested pattern.

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Working Paper

Nonnested model comparisons for time series

December 09, 2016

This paper addresses the topic of nonnested time series model comparisons.

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Working Paper

Optimal Real-Time Filters for Linear Prediction Problems

April 09, 2016

The classic model-based paradigm in time series analysis is rooted in the Wold decomposition of the data-generating process into an uncorrelated WN process.

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Working Paper

Examining Diagnostics for Trading-Day Effects from X-13ARIMA-SEATS

March 11, 2016

Examining Diagnostics for Trading-Day Effects from X-13ARIMA-SEATS

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Working Paper

Getting Started with X-13ARIMA-SEATS Input Files (Accessible Version)

March 01, 2016

This document is based on one originally developed in 2002 by Catherine Hood and Brian Monsell to assist users of X-12-ARIMA.

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Working Paper

Computation of the Autocovariances for Time Series

February 18, 2016

Gegenbauer processes allow for flexible and convenient modeling of time series data with multiple spectral peaks.

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Working Paper

On the measurement and treatment of extremes in time series

2016

The paper reviews the topic of extremal time series.

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Working Paper

Signal Extraction for Nonstationary Time Series

2016

This paper presents a flexible framework for signal extraction of time series measured as stock or flow at diverse sampling frequencies.

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Working Paper

Model Estimation, Prediction, and Signal Extraction

November 24, 2015

A practical problem for statistical agencies and banks that publish economic data is the seasonal adjustment of mixed frequency stock and flow time series.

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Working Paper

Illuminating Model-Based Seasonal Adjustment with the First Order S...

July 09, 2015

Illuminating Model-Based Seasonal Adjustment with the First Order Seasonal Autoregressive and Airline Models

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Working Paper

Unit Root Properties of Seasonal Adjustment and Related Filters: Sp...

June 30, 2015

Unit Root Properties of Seasonal Adjustment and Related Filters: Special Cases

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Working Paper

When are Direct Multi-step and Iterative Forecasts Identical?

April 19, 2015

Although both direct multi-step-ahead forecasting and iterated one-step-ahead forecasting are two popular methods for predicting future values of a time series.

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Working Paper

Multivariate Seasonal Adjustment, Economic Identities, and Seasonal...

February 26, 2015

Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy

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Working Paper

Comparing X-13ARIMA-SEATS Diagnostics for Quarterly Series

2015

X-13ARIMA-SEATS has several diagnostics for determining whether a time series is seasonal and for detecting residual seasonality in an adjusted series.

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Working Paper

Investigating the Behavior of X-13ARIMA-SEATS Seasonal Adj. Revisions

2015

We assess the fluctuation of the seasonally adjusted estimates and how quickly they stabilize to a final value.

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Working Paper

Optimal Real-Time Filters for Linear Prediction Problems

2015

The model-based paradigm in time series analysis is rooted in the Wold decomposition of the data-generating process into an uncorrelated white noise process.

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Working Paper

Signal Extraction for Non-stationary Multivariate Time Series ...

2015

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Working Paper

The Effect of Forecast Quality on Seasonal Adjustment Revisions

2015

When data are available, the X-11 method uses symmetric moving average filters, utilizing the same amount of data before and after the point of interest.

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Working Paper

Effect of Trading Day Regressors on Seasonal Adjustment of Growth R...

September 05, 2014

Effect of Trading Day Regressors on Seasonal Adjustment of Growth Rates

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