Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent
developments in the econometric analysis of seasonal economic time series, summarizing a …

TRAMO (" Time Series Regression with ARlMA Noise, Missing Observations, and Outliers")
is a program written in Fortran for mainframes and pes under MS-Dos. The program …

We study how firms allocate cash flow by estimating the cash-flow sensitivities of various
uses of cash flow. We decompose cash flow into a transitory and a permanent component …

In this paper we review recent developments in econometric modelling of economic time
series with seasonality. The prime focus is on econometric models which incorporate explicit …

Hodrick-Prescott (HP) filtering of (most often, seasonally adjusted) quarterly series is
analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering …

We examine the view that the recent East Asian crisis was precipitated by bursting asset
price bubbles, which had been fuelled by strong capital inflows that were largely the result of …

lengths, that could not be captured with univariate linear filters. Exam ples of research in
both directions can be found in Sims (1977), Lahiri and Moore (1991), Stock and Watson …

The notion of a natural real rate of interest, due to Wicksell (Interest and prices. Macmillan,
London Translation of 1898 edition, 1936), is widely used in current central bank research …

By setting up a suitable time series model in state space form, the latest estimate of the
underlying current change in a series may be computed by the Kalman filter. This may be …

Seasonal adjustment has a long and well-documented tradition; see, for example, Nerlove,
Grether and Carvalho (1979), Zellner (1978), Moore et al (1981), Den Butter and Fase …