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ARIMA models, the steady state of economic variables and their estimation

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Authors
Issue Date
1990
Physical description
38 p. : gráf.
ISBN
84-7793-059-7
Abstract
This paper presents a procedure to breakdown the forecast function of an ARIMA model in terms of its permenent and transitory components. The result throws some ligth on the structure of ARIMA models and its interpretarion proves useful in economic terms. Indeed, the permanent component of the forecasting function for a base period t ·is a consistent estimate of the equilibrium level or' steady state path at which the corresponding variable is tending at each time t

and the transitory component describes how the approach towards the permanent component tends to arise
Notes
Incluye bibliografía
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Documentos de trabajo / Banco de España, 9008
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