Modelling daily series of economic activity

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dc.contributor.author Espasa, Antoni
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2009-02-17T10:32:32Z
dc.date.available 2009-02-17T10:32:32Z
dc.date.issued 1993-11
dc.identifier.uri http://hdl.handle.net/10016/3682
dc.description.abstract The behavior of daily series of economic activity like the consumption of electric energy, cash withdrawn from financial institutions, number of passengers in a transport service, pollution and traffic levels, sales, etc., is very often characterised by showing oscillating levels or trends and several complex seasonalities. Besides, these series are sensible to: (1) the presence of holidays; (2) vacation periods and; (3) the end and beginning of month. Finally, these series suffer, in general, from the influence of meteorological variables and in many cases the effects are nonlinear, dynamic and change with the type of the day -weekdays or weekends or holidays- and season of the year. The levels of these series show so complex trends and oscillations that the process of their modelling becomes very difficult. Nevertheless, because such oscillations correspond to behaviour patterns of the economic agents the modelling task is not only feasible but also very rewarding. The paper specifies the main characteristics of daily series of economic activity; analyzes how these features can be explained by a quantitative model; proposes a strategy for the construction of those models; illustrates their use for forecasting and control purposes and shows examples of models already in active use for several years that have up to almost two hundred estimated parameters employing several thousands observations.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 1993-32-23
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Forecasting
dc.subject.other Seasonality
dc.subject.other Calendar effects
dc.subject.other Meteorological variables
dc.title Modelling daily series of economic activity
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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