Scholarlink

We consider practical issues when we use monthly, quarterly, and annual macroeconomic time series that are published regularly with different frequencies by several government agencies in Japan. In order to address the issue with the multivariate economic time series, we apply the SIML filtering based on the range of time series that are non-stationary with seasonality and noise. We apply the SIML filtering method to construct macro consumption indicators using quarterly and monthly macro consumption series.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

A Filtering Method of Constructing Macro Consumption Index

  • 章节

  • 发表日期：

    2025年

查看全文
  • Naoto Kunitomo,
  • Seisho Sato

摘要

We consider practical issues when we use monthly, quarterly, and annual macroeconomic time series that are published regularly with different frequencies by several government agencies in Japan. In order to address the issue with the multivariate economic time series, we apply the SIML filtering based on the range of time series that are non-stationary with seasonality and noise. We apply the SIML filtering method to construct macro consumption indicators using quarterly and monthly macro consumption series.