Nowcasting Austrian Short Term Statistics
| Autor: | Markus Fröhlich |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Multivariate statistics
cointegration Nowcasting outlier adjustment Computer science Statistics Univariate nowcast Missing data 01 natural sciences HA1-4737 Term (time) vector error correction models 010104 statistics & probability Autoregressive model (seasonal) unit-roots Imputation (statistics) Seasonal adjustment 0101 mathematics |
| Zdroj: | Journal of Official Statistics, Vol 34, Iss 2, Pp 503-522 (2018) |
| ISSN: | 2001-7367 |
| DOI: | 10.2478/jos-2018-0023 |
| Popis: | Early estimates for Austrian short term indices were produced using multivariate time-series models. The article presents a simulation study with different models (vector error correction models, vector autoregressive models in levels – both with unadjusted and seasonally adjusted time-series) used for estimating total turnover, production, etc. In a preliminary step, before time-series were provided for nowcasting, the data had to undergo an editing process. In this case a time-series approach was selected for data-editing as well, because of the very specific structure of Austrian enterprises. For this task basically the seasonal adjustment program X13Arima-Seats was used for identifying and replacing outlying observations, imputation of missing values and generating univariate forecasts for every single time series. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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