Lesson 5 Theory

Lesson 5.
Time series Statistics I ~1~

______________________________________________________________________
LESSON 5. TIME SERIES
5.1. Time series: concept and graphs
A time series is a set of regular time-ordered observations of a variable X

(quantitative) taken at successive and usually equidistant periods or points of time.
Time series are two-dimensional statistical distributions where one of the variables is
the time. The most usual way of presenting these distributions is by means of a table
with two columns: the first displays time and the second contains the values of the
variable under study.
Notation:
Xt t=1, ..., T observations with annual periodicity
The use of time series has two main purposes: the analysis of the variations of the
phenomenon under study and the forecast of future situations from the available
information. In the current lesson we deal with the most basic questions related to
time series, as a detailed analysis requires the knowledge and the use of specific
techniques and methodologies that are beyond the scope of this subject.
The periodicity of a time series is the elapsed time between two observations of
the variable; thus, it can be daily, weekly, monthly, quarterly, four-monthly, six-
monthly, yearly, five-year, etc. We denote k the frequency that indicates the number
of observations of the variable each year:
Time series on a yearly basis: (frequency k=1 observations per year).

Time series on a six-monthly basis: (frequency k=2 observations per year).
Time series on a four-monthly basis: (frequency k=3 observations per year).
Time series on a quarterly basis: (frequency k=4 observations per year).
Time series on a monthly basis: (frequency k=12 observations per year).
Any time series analysis should start with its graphic representation:
______________________________________________________________________
Degree in Economics / Estefana Mourelle Espasandn 2016/2017
Lesson 5. Time series Statistics I ~2~
______________________________________________________________________
Illustration: graph for a time series
Spanish Gross Domestic Product (supply; non-adjusted data; current prices)
300000
250000
200000
150000
100000
50000
0
1995TIII
1996TIII
1997TIII
1998TIII
1999TIII
2000TIII
2001TIII
2002TIII
2003TIII
2004TIII
2005TIII
2006TIII
2007TIII
2008TIII
2009TIII
2010TIII
1995TI
1996TI
1997TI
1998TI
1999TI
2000TI
2001TI
2002TI
2003TI
2004TI
2005TI
2006TI
2007TI
2008TI
2009TI
2010TI
2011TI
Source: NSI.
This tool allows us for detecting features and characteristics of the phenomenon
under study, such as:
- Potential presence of a trend: long-run behaviour of the series.
- Potential presence of seasonality: periodic or regular behaviour of the series.
- Potential presence of heteroscedasticity: the variability of the series is not
constant over time (versus homoscedasticity, where it is constant)
5.2. Decomposition of a time series: components and scheme
5.2.1. COMPONENTS OF A TIME SERIES
The decomposition of a time series consists of calculating new time series - called
components -, as well as a scheme of relationship between them so that the original
time series Xt is obtained from its components by applying that scheme. The objective
of the decomposition process is that the individual analysis of the components (or the
series derived from them) provides additional information for understanding the
evolution of Xt.
______________________________________________________________________
______________________________________________________________________
Each observation of a time series (each Xt) is the resultant of combining several
U U
factors or different components. The basic components are:
a. Trend in the wide sense or trend-cycle component (Pt)
It is the aggregate of two more basic sub-components: long-run trend and cycle.
We do not analyze them in this course because it requires a quite complex calculus. In
any case, their definitions are:
Long-run trend or trend in the strict sense (Tt)
- Concept: difficult to define in a formal way.

- It represents the evolution in the very long-run of the phenomenon under study.
- Types of trend: deterministic and stochastic.
Cyclical component or Cycle (Ct)
- Oscillations around the long-run trend, with a period greater than one year. Its
mean equals zero.
- These oscillations are related to the general level of activity in an economy, with
alternating periods of expansion and stagnation of the economic activity.
- The superposition of different cycles of this kind complicates the measurement of
this component.
In practice, it is quite difficult to separate the long-run trend from the cycle it is
usual to consider them jointly in the Pt component.
b. Seasonal component (St or Sij, with i-year and j-season of the t period)
- Oscillations with a period equal to or less than one year, and they are repeated
year after year in a recognizable manner. Its mean equals zero.
- They are usually related to climatological causes and the costumes they impose.
- This component verifies two basic hypotheses:
i) Seasonality associated to season j does not vary in the whole period under study
Sij = Sj, i.
ii) The mean of the seasonal components equals zero for each year in the additive
scheme and one in the multiplicative scheme.
______________________________________________________________________
______________________________________________________________________
c. Irregular, erratic or residual component (Ut)
- Random movements which do not come from a given regular pattern; they are
caused by isolated factors that only affect the variable in precise moments.
- As they are purely transitory movements, its mean equals zero in the additive
scheme and one in the multiplicative scheme.
d. Calendar effect
- This component is not normally seen in books about general Statistics, but it has
great relevance in Economic Statistics, especially in situational analysis.
- It refers to the Easter effect, the number of days in a month, the number and
position of holidays, the leap years, etc.
- In this subject, we are not calculating this component.
5.2.2. AGGREGATION SCHEMES (WAYS OF COMBINING THE COMPONENTS)
We consider two types of aggregation schemes:
a) Additive scheme
Cycle, seasonal and irregular components are quantities summed up to the trend
obtaining of the observed Xt.
b) Multiplicative scheme (or logarithmic additive)
Cycle, seasonal and irregular components are expressed so much for one of the
trend.
Determining the type of scheme
The scheme is selected from the data series, by means of analyzing the width of
the time series oscillations: if they are constant-width, we are in the case of
homoscedasticity; if they are non-constant width, we find heteroscedasticity. In this
lesson, the scheme will be decided by using the graph of the series (an alternative is to
______________________________________________________________________
______________________________________________________________________
divide the series into groups containing q observations, calculate the mean and the
standard deviation, and analyze whether the SD depends on the mean or not).
In the homoscedastic case, the additive scheme is used; in the heteroskedastic
case, the multiplicative scheme is the one employed. Unless indicated otherwise, in this
course we will focus our attention on the additive scheme. In any case, the
multiplicative can be carried out by using the techniques applied for the additive
scheme and doing the following transformation:
In practice, the procedure is as it follows:
1. Calculation of the values for Yt = lnXt.

2. Calculation of the three components: Pt(Y), St(Y), Ut(Y).
3. Calculation of the Xt components by undoing the previous transformations:
Pt(Y) St(Y) Ut(Y).
Pt = e ; St = e ; Ut = e
5.3. Trend analysis

U
There is a wide variety of methods in order to isolate the long-run evolution of a

time series, although in this lesson we only explain the most commonly used in
practice.
5.3.1. ANALYTICAL ADJUSTMENT METHOD
This method consists of adjusting a function that links the variable as a function of
time, being a simple function but reflecting in a satisfactory manner the general
evolution of the phenomenon. Then, we should take two decisions: first, determine the
functional form and, second, determine the specific values for the parameters. In case
we assume a linear trend, = + , the usual equations are:
= +
= + 2
______________________________________________________________________
______________________________________________________________________
The main advantages of this method are that we can obtain a goodness-of-fit
measure and that we do not lose observations when calculating the trend.
When seasonality exists, it is desirable not to use the original data; they should be
previously transformed so as to eliminate the seasonal component (it might distort the
estimation of the trend). For doing this, the advice is to calculate annual means and to
adjust the linear function to these means.
5.3.2. MOVING-AVERAGE METHOD
This method is based on the smoothness of the series through the repeated
calculation of arithmetic means for k consecutive values, that we denote moving
average of order k [MAk(Xt)]. In other words, this is a local approach where the
trend in t is obtained as a function of the observations close to t.
We select a value for k that reflects the period of the most important oscillations
(k=1 for annual series, k=2 for six-monthly series, k=3 for quarterly series, etc.).
When k is odd, we determine a new series in the following manner:
ki=1 yi k+1
i=2 yi k+2
i=3 yi
yk+1 = , yk+3 = , yk+5 = , etc.
2 k 2 k 2 k
k+1 k+3 k+5

And so on, and so forth; subscripts correspond to moments , , , which
2 2 2
are whole values when k is odd.
When k is even, we repeat the previous process, but now we find the problem of
k+1 k+3 k+5
, , , etc. not being whole numbers; thus, the new series is displaced
2 2 2
and it is not possible to assign the moving average to a concrete period. In order to
center it, after calculating the previous moving-averages series, we average two of
them:
k+1 + y
y k+3 k+3 + yk+5
y k+5 + yk+7
y
yk+2 = 2 2
, yk+4 = 2 2
, yk+6 = 2 2
, etc.
2
2 2
2 2
2
+2 +4 +6
Now, , , , etc. are whole values.
2 2 2
Once the moving averages have been obtained, the trend will be the line that
connects these values.
______________________________________________________________________
______________________________________________________________________
This procedure has two disadvantages; first, it is not presented along with a
reliability measure analogous to the coefficient of determination and, second, it
involves the loss of observations. At this respect, the number of data that are lost
depends on the value of k, as the larger k is, the higher the number of observations
that are lost; moreover, it also depends on whether k is even or odd (i.e., that the
series needs to be centered later or not), as values are lost in the new obtained series
each time moving averages are calculated. Then,
k+1
When k is odd, 1 first and last observations are lost.
2
k
When k is even, ahead observations and 1 back observations are lost in
2 2
k+2
the first moving-averages series; 1 ahead and back observations are lost in the
2
second moving-averages series.
If the adequate moving average is selected, seasonal and irregular components

are eliminated, and we obtain the underlying trend.
The next table summarizes the previous results for the different periodicities:
Periodicity Frequency, k No. lost observations in No. lost observations in Pt

MAk with respect to Xt with respect to Xt at the
beginning and at the end
Beginning End
Six-monthly 2 1 0 1
Four-monthly 3 1 1 1
Quarterly 4 2 1 2
Monthly 12 6 5 6
As an example of the k odd case, in the following table we show the four-monthly
time series Xt Number of travellers (in thousand people) accommodated in Galician
hotel establishments between 2011 and 2013, together with its trend.
Period Xt Pt=MA3(Xt)
2011.I 196
2011.II 390 268
2011.III 218 273.33
2012.I 212 275
2012.II 395 294
2012.III 275 289
2013.I 197 286.33
2013.II 387 292
2013.III 292
______________________________________________________________________
______________________________________________________________________
As an example of the k even case, in the following table we report the values for
the quarterly time series Xt Quarterly sales of a heating appliances company (104 )
between 2014 and 2014, together with its trend.
Period Xt MA4(Xt) Pt=MA2[MA4(Xt)]

2010.Q1 7.2
2010.QII 5
2010.QIII 4.6 6.700 6.650
2010.QIV 10 6.600 6.538
2011.Q1 6.8 6.475 6.388
2011.QII 4.5 6.300 6.450
2011.QIII 3.9 6.600 6.538
2011.QIV 11.2 6.475 6.475
2012.Q1 6.3 6.475 6.625
2012.QII 4.5 6.775 6.588
2012.QIII 5.1 6.400 6.488
2012.QIV 9.7 6.575 6.463
2013.Q1 7 6.350 6.325
2013.QII 3.6 6.300 6.338
2013.QIII 4.9 6.375 6.150
2013.QIV 10 5.925 6.150
2014.Q1 5.2 6.375 6.350
2014.QII 5.4 6.325 6.138
2014.QIII 4.7 5.950
2014.QIV 8.5
5.4. Seasonality analysis. Seasonally adjusted time series

S
The seasonal component of a time series can only be determined when that series
has a less than one year periodicity one. The notation in this case is:
i year i=1, , n
Xij observations with less than one year periodicity
j season j=1, , k
Following this notation, there are two hypotheses regarding the seasonal
component:
Hypothesis 1: seasonality associated to season j does not vary in the whole

period under study Sij = Sj, i. We call seasonal indexes the values Sj, j=1,..,k.
______________________________________________________________________
______________________________________________________________________
Hypothesis 2: the mean of the seasonal components is zero in the additive

scheme, that is, S1 + + Sk = 0.
Seasonal indexes represent the variation with respect to the trend that takes place
in each season, and the seasonal component is the time series that contains the
repetition of the seasonal indexes for every year in the study.
In order to calculate the seasonal indexes we have to carry out the following
steps:
1. We remove the trend from the original series and obtain the so-called series
without trend; it is denoted by Zij = Xij - Pij, i=1,,n; j=1,,k.
2. For each j season, we calculate (for the total number of years) the arithmetic

means for the Zij series previously obtained: Zj = =
, j=1,,k (be careful!, n does
not always take the same value).

By doing this, we eliminate the irregular component.
3. For each j season, we calculate Z*, which is the arithmetic mean of the results

=
obtained in the previous section for the k seasons: = .

This step is carried out so as to obtain balanced seasonal coefficients (i.e., the
sum equals zero).
4. In the last step, we calculate Sj = Zj - Z* (both terms in the difference are the
outcomes from steps 2 and 3).
In many cases it is interesting to study the smoothed series, that is, to calculate
and analyze a new time series which does not reflect the periodic fluctuations that
occur every year. This series is known as seasonally adjusted series (SAt): it
removes the seasonality effect from the original series and its analysis is very helpful in
order to understand the evolution of the variable.
Under an additive scheme, it is calculated in the following manner:
= = +
It is the aggregate of the trend-cycle and the irregular component, that is, the
observed series without the seasonal component.
______________________________________________________________________
Lesson 5. Time series Statistics I ~ 10 ~
______________________________________________________________________
Illustration: graph for a time series
Spanish Gross Domestic Product (supply; seasonal and calendar effects adjusted
data; current prices)
300000
250000
200000
150000
100000
50000
0
1995TIII
1996TIII
1997TIII
1998TIII
1999TIII
2000TIII
2001TIII
2002TIII
2003TIII
2004TIII
2005TIII
2006TIII
2007TIII
2008TIII
2009TIII
2010TIII
1995TI
1996TI
1997TI
1998TI
1999TI
2000TI
2001TI
2002TI
2003TI
2004TI
2005TI
2006TI
2007TI
2008TI
2009TI
2010TI
2011TI
Source: NSI.
For example, when we analyze the evolution of unemployment in Spain it is quite

usual to work with the seasonally adjusted series due to the dependence of this
variable on tourism (in our country); thus, for example, the unemployment might
decrease in July in the original series but increase in the adjusted one, so that this
event cannot be interpreted as a net decrease of unemployment.
For example, in the case of the time series Xt Quarterly sales of heating
appliances company (104 ) between 2010 and 2014, the seasonal indexes of the
seasonal component will be:
I quarter II quarter III quarter IV quarter

-2.050 3.463
0.413 -1.950 -2.638 4.725
-0.325 -2.088 -1.388 3.238
0.675 -2.738 -1.250 3.850
-1.150 -0.738
Zj -0.097 -1.878 -1.831 3.819

Z* 0.003 0.003 0.003 0.003
Sj -0.100 -1.881 -1.834 3.816

______________________________________________________________________
______________________________________________________________________
The corresponding graph is:
Seasonal indexes
5
0
1 2 3 4
-1
-2
-3
Once we have the seasonal indexes, we can obtain the irregular component.
In this case we should be careful, as not all the components are defined for all periods.
Under an additive scheme, we determine the irregular component as follows:
1. If we have the original series and we have calculated the trend and the seasonal
component, then Ut = Xt Pt St.
2. If we have the seasonally adjusted series and the trend, then Ut = SAt Pt.
For example, in the case of the time series X Quarterly sales of a heating
appliances company (104 ) between 2010 and 2014, we calculate the seasonally
adjusted series as well as the irregular component:
Period Xt Pt St SAt Ut
2010.QI 7.2 -0.100 7.300
2010.QII 5 -1.881 6.881
2010.QIII 4.6 6.650 -1.834 6.434 -0.216
2010.QIV 10 6.538 3.816 6.184 -0.353
2011.Q 6.8 6.388 -0.100 6.900 0.513
2011.QII 4.5 6.450 -1.881 6.381 -0.069
2011.QIII 3.9 6.538 -1.834 5.734 -0.803
2011.QIV 11.2 6.475 3.816 7.384 0.909
2012.QI 6.3 6.625 -0.100 6.400 -0.225
2012.QII 4.5 6.588 -1.881 6.381 -0.206
2012.QIII 5.1 6.488 -1.834 6.934 0.447
2012.QIV 9.7 6.463 3,816 5.884 -0.578
2013.Q1 7 6.325 -0.100 7.100 0.775
2013.QII 3.6 6.338 -1.881 5.481 -0.856
2013.QIII 4.9 6.150 -1.834 6.734 0.584
2013.QIV 10 6.150 3.816 6.184 0.034
______________________________________________________________________
______________________________________________________________________
2014.QI 5.2 6.350 -0.100 5.300 -1.050

2014.QII 5.4 6.138 -1.881 7.281 1.144
2014.QIII 4.7 -1.834 6.534
2014.QIV 8.5 3.816 4.684
Heating appliances sales (in 104 )

10
8
Xt
6
4
4 6.2 6.3 6.4 6.5 6.6
Pt
3
2
St
1
0
-
1.0 -
0.0 0.5
Ut
-
-
1995 1996 1997 1998 1999
Quarter
In this case we have a short time series, with only twenty observations (over five
years). The graph for Xt does not show a clear trend, but presents seasonality and
homoscedasticity. The graph for the trend shows a slight decreasing trend. The graph
for the seasonal component reveals its remarkable influence in the last quarter. Last,
the irregular component exhibits important non-seasonal oscillations.
______________________________________________________________________
______________________________________________________________________
EXAMPLE 1
An ice-cream manufacturer company shows the following four-monthly turnover:

Four-month period \ year 2005 2006 2007 2008 2009
1 1520 1566 1605 1637 1688
2 3813 3927 4084 4227 4397
3 2500 2550 2627 2718 2773
Assuming an additive scheme, a) obtain the turnover trend through the moving
average method; b) calculate the seasonal component and the seasonally adjusted
series; c) calculate the irregular component.
Trend in a four-monthly series: calculation of moving averages of order 3 (MA3).
1520 3813 2500

MA3 assigned to 0502: 2611
3
3813 2500 1566
MA3 assigned to 0503: 2626.33
3
1688 4397 2773

MA3 assigned to 0902: 2952.67
3
Trend series: Period Trend

0502 2611
0503 2626.33
0601 2664.33
0602 2681
0603 2694
0701 2746.33
0702 2772
0703 2782.67
0801 2830.33
0802 2860.67
0803 2877.67
0901 2934.33
0902 2952.67
Procedure for calculating the seasonal component:
first of all, we need the values of the series without trend
X0502 P(0502)= 3813 2611 = 1202

X0503 P(0503)= 2500 2626.33 = -126.33
______________________________________________________________________
______________________________________________________________________
X0902 P0902= 4397 2952.67 = 1444.33
Final values: Period Series without trend

0502 1202
0503 -126.33
0601 -1098.33
0602 1246
0603 -144
0701 -1141.33
0702 1312
0703 -155.67
0801 -1193.33
0802 1366.33
0803 -159.67
0901 -1246.33
0902 1444.33
We move these values to the following table:
Year Four-month period 1 Four-month period 2 Four-month period 3

2005 1202 -126.33
2006 -1098.33 1246 -144
2007 -1141.33 1312 -155.67
2008 -1193.33 1366.33 -159.67
2009 -1246.33 1444.33
Mean in each Sum of

four-month period -1169.83 1314.13 -146.42 means = -2.12
Sum/3 -0.71 -0.71 -0.71
Seasonal coefficients
[mean - (sum/3)] -1169.13 1314.84 -145.71 Sum = 0
Values for the seasonal component: SFour-month period 1 = -1169.13

SFour-month period 2 = 1314.84
SFour-month period 3 = -145.71
______________________________________________________________________
______________________________________________________________________
Seasonally adjusted series: Period SAt

SAt = Xt - St 0501 1520-(-1169.13)=2611
0502 3813-1314.84=2498.16
0503 2500-(-145.71)=2645.71
0601 2735.13
0602 2612.16
0603 2695.71
0701 2774.13
0702 2769.16
0703 2772.71
0801 2806.13
0802 2912.16
0803 2863.71
0901 2857.13
0902 3082.16
0903 2918.71
Procedure for calculating the irregular component:
Uij = Xij Pij Sj
U0502 = 3813 2611 1314.84 = -112.84

U0503 = 2500 2626.33 (-145.71) = 19.38
U0902 = 4397 2952.65 1314.84 = 129.49
Irregular component series: Period Ut

0502 -112.84
0503 19.38
0601 70.8
0602 -68.84
0603 1.71
0701 27.8
0702 -2.84
0703 -9.96
0801 -24.2
0802 51.49
0803 -13.96
0901 -77.2
0902 129.49
______________________________________________________________________
______________________________________________________________________
GRAPHS
Original series
5000
4500
4000
3500
3000
2500
2000
1500
1000
500
0
Trend-cycle series
3000
2900
2800
2700
2600
2500
2400
Seasonal component series
1500
1000
500
-500
-1000
-1500
______________________________________________________________________
______________________________________________________________________
Seasonally adjusted series
3500
3000
2500
2000
1500
1000
500
Irregular component series
150
100
50
-50
-100
-150
______________________________________________________________________
______________________________________________________________________
EXAMPLE 2. IPI: additive scheme decomposition
Date Original series MA order 12 (MA 12)2 Series witho. Seasonal Irregular SA
Fecha Serie original MM orden 12 Trend
(MM 12)2 trendsin Componente
Serie comp. comp.
Variaciones series
Serie
Tendencia tendencia estacional irregulares desestac.
0501 94.3 1.23 93.07
0502 97.7 1.04 96.66
0503 102.6 6.25 96.35
0504 104.5 -1.95 106.45
0505 104.4 7.08 97.32
0506 107.6 5.65 101.95
0507 104 99.99 100.28 3.73 4.58 -0.86 99.42
0508 74.1 100.56 100.73 -26.63 -27.71 1.09 101.81
0509 105.5 100.89 101.42 4.08 1.45 2.63 104.05
0510 102.3 101.95 101.54 0.76 4.75 -3.99 97.55
0511 108.3 101.13 101.43 6.87 6.47 0.41 101.83
0512 94.6 101.72 101.93 -7.33 -8.85 1.51 103.45
0601 101.1 102.15 102.31 -1.21 1.23 -2.43 99.87
0602 101.7 102.47 102.56 -0.86 1.04 -1.90 100.66
0603 115.3 102.65 102.68 12.63 6.25 6.37 109.05
0604 94.7 102.70 102.98 -8.28 -1.95 -6.34 96.65
0605 111.4 103.27 103.43 7.97 7.08 0.89 104.32
0606 112.8 103.59 103.63 9.18 5.65 3.52 107.15
0607 107.8 103.66 103.94 3.86 4.58 -0.72 103.22
0608 76.3 104.22 104.35 -28.05 -27.71 -0.33 104.01
0609 106.1 104.48 104.53 1.57 1.45 0.12 104.65
0610 109.1 104.58 104.78 4.32 4.75 -0.42 104.35
0611 112.2 104.98 105.13 7.07 6.47 0.60 105.73
0612 95.4 105.28 105.29 -9.89 -8.85 -1.04 104.25
0701 107.8 105.29 105.49 2.31 1.23 1.08 106.57
0702 104.8 105.69 105.77 -0.97 1.04 -2.01 103.76
0703 116.5 105.84 105.78 10.72 6.25 4.46 110.25
0704 99.5 105.73 105.97 -6.47 -1.95 -4.52 101.45
0705 115.1 106.21 106.17 8.93 7.08 1.85 108.02
0706 112.9 106.13 106.14 6.76 5.65 1.10 107.25
0707 112.6 106.15 106.11 6.49 4.58 1.90 108.02
0708 78.1 106.08 106.24 -28.14 -27.71 -0.43 105.81
0709 104.7 106.41 105.67 -0.97 1.45 -2.42 103.25
0710 114.9 104.93 105.42 9.48 4.75 4.73 110.15
0711 111.3 105.92 105.51 5.79 6.47 -0.68 104.83
0712 95.6 105.11 104.60 -9.00 -8.85 -0.15 104.45
0801 106.9 104.08 104.00 2.90 1.23 1.68 105.67
0802 108.8 103.91 103.53 5.27 1.04 4.23 107.76
0803 98.7 103.16 102.95 -4.25 6.25 -10.51 92.45
0804 111.4 102.75 102.17 9.23 -1.95 11.18 113.35
0805 105.4 101.58 100.73 4.67 7.08 -2.41 98.32
0806 100.6 99.88 99.25 1.35 5.65 -4.30 94.95
0807 110.5 98.61 4.58 105.92
0808 69.1 -27.71 96.81
0809 99.8 1.45 98.35
0810 100.9 4.75 96.15
0811 90.9 6.47 84.43
0812 80.3 -8.85 89.15
______________________________________________________________________
______________________________________________________________________
SEASONAL
DETALLE COMPONENT DETAIL
DEL CLCULO DEL COMPONENTE ESTACIONAL
January
Enero February
Febrero March
Marzo April
Abril May
Mayo June
Junio JulyJulio August
AgostoSeptember October
Septiembre November
Octubre December
Noviembre Diciembre
2005 2005 3.73 -26.63 4.08 0.76 6.87 -7.33
2006 2006 -1.21 -0.86 12.63 -8.28 7.97 9.18 3.86 -28.05 1.57 4.32 7.07 -9.89
2007 2007 2.31 -0.97 10.72 -6.47 8.93 6.76 6.49 -28.14 -0.97 9.48 5.79 -9.00
2008 2008 2.90 5.27 -4.25 9.23 4.67 1.35
Mean
Media 1.33 1.15 6.36 -1.84 7.19 5.76 4.69 -27.60 1.56 4.85 6.58 -8.74 Suma
Sum 1.301.30
Sum/12
Suma/12 0.11 0.11 0.11 0.11 0.11 0.11 0.11 0.11 0.11 0.11 0.11 0.11
Seaso. comp.
Comp. estac. 1.23 1.04 6.25 -1.95 7.08 5.65 4.58 -27.71 1.45 4.75 6.47 -8.85 Sum
Suma 0.000.00
(Appr.
(Aproximacin decimales)
decimals)
______________________________________________________________________
______________________________________________________________________
IPI
IPI
140
140
120
120
100
100
Serie original
Tendencia Serie desestacionalizada
80
80
60
60
40
40
0501 0506 0511 0604 0609 0702 0707 0712 0805 0810
0501 0506 0511 0604 0609 0702 0707 0712 0805 0810
______________________________________________________________________
______________________________________________________________________
EXAMPLE 3. Wage-earners with temporary contract in the services sector: multiplicative scheme decomposition
MA 4 for (MA 4)2 Series witho. trend

Date Series (X) Ln(X) Ln(X) Trend Ln(X) (MA 4)2 Seaso. (Ln) Irregular (Ln) SA (Ln) Trend Seasonal Irregular SA
199701 1794.4 7.49243 -0.02640 7.51883 0.97394 1842.41320
199702 1837.5 7.51616 -0.00110 7.51726 0.99890 1839.51550
199703 1893.2 7.54602 7.52010 7.52316 0.02287 0.03579 -0.01293 7.51023 1850.40254 1.03644 0.98716 1826.63542
199704 1855.3 7.52580 7.52621 7.52772 -0.00192 -0.00829 0.00637 7.53409 1858.86557 0.99174 1.00639 1870.74626
199801 1838.8 7.51687 7.52923 7.53278 -0.01592 -0.02640 0.01048 7.54327 1868.29877 0.97394 1.01053 1888.00122
199802 1859.8 7.52822 7.53634 7.53780 -0.00958 -0.00110 -0.00848 7.52932 1877.70283 0.99890 0.99155 1861.83996
199803 1947.8 7.57446 7.53927 7.54466 0.02980 0.03579 -0.00600 7.53866 1890.61935 1.03644 0.99402 1879.31570
199804 1877.2 7.53754 7.55005 7.56005 -0.02252 -0.00829 -0.01423 7.54583 1919.95034 0.99174 0.98587 1892.82859
199901 1919.8 7.55998 7.57006 7.58052 -0.02054 -0.02640 0.00586 7.58638 1959.64896 0.97394 1.00588 1971.16856
199902 2014.8 7.60828 7.59098 7.60164 0.00664 -0.00110 0.00773 7.60937 2001.47475 0.99890 1.00776 2017.00997
199903 2117.8 7.65813 7.61230 7.61878 0.03936 0.03579 0.00356 7.62234 2036.06827 1.03644 1.00357 2043.33853
199904 2044.3 7.62281 7.62525 7.63291 -0.01010 -0.00829 -0.00181 7.63110 2065.05333 0.99174 0.99819 2061.31978
200001 2021.9 7.61179 7.64057 7.64881 -0.03702 -0.02640 -0.01062 7.63820 2098.15710 0.97394 0.98944 2076.00047
200002 2142.1 7.66954 7.65706 7.66450 0.00504 -0.00110 0.00614 7.67064 2131.32973 0.99890 1.00616 2144.44960
200003 2262.2 7.72409 7.67194 7.67733 0.04676 0.03579 0.01097 7.68830 2158.85560 1.03644 1.01103 2182.66145
200004 2169.7 7.68234 7.68272 7.68536 -0.00302 -0.00829 0.00527 7.69064 2176.25935 0.99174 1.00529 2187.76379
200101 2111 7.65492 7.68800 7.69145 -0.03653 -0.02640 -0.01013 7.68132 2189.54968 0.97394 0.98992 2167.48454
200102 2187.8 7.69065 7.69490 7.70153 -0.01087 -0.00110 -0.00978 7.69175 2211.72062 0.99890 0.99027 2190.19973
200103 2325.5 7.75169 7.70815 0.03579 7.71590 1.03644 2243.73583
200104 2287.8 7.73535 -0.00829 7.74364 0.99174 2306.84703
______________________________________________________________________
______________________________________________________________________
SEASONAL COMPONENT DETAIL
Year I II III IV
1997 0.02287 -0.00192
1998 -0.01592 -0.00958 0.02980 -0.02252
1999 -0.02054 0.00664 0.03936 -0.01010
2000 -0.03702 0.00504 0.04676 -0.00302
2001 -0.03653 -0.01087
Mean -0.02750 -0.00219 0.03469 -0.00939 Sum -0.00439
Correction -0.00110 -0.00110 -0.00110 -0.00110
Seaso. c. -0.02640 -0.00110 0.03579 -0.00829 Seaso. sum 0.00000
(Appr. decimals)
______________________________________________________________________

Lesson 5 Theory

Transféré par

Informations du document

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

Lesson 5 Theory

Transféré par

Droits d'auteur :

Formats disponibles

Lesson 5.

Time series Statistics I ~1~

LESSON 5. TIME SERIES

5.1. Time series: concept and graphs

A time series is a set of regular time-ordered observations of a variable X

Xt t=1, ..., T observations with annual periodicity

Time series on a yearly basis: (frequency k=1 observations per year).

Illustration: graph for a time series

Spanish Gross Domestic Product (supply; non-adjusted data; current prices)

5.2. Decomposition of a time series: components and scheme

5.2.1. COMPONENTS OF A TIME SERIES

factors or different components. The basic components are:

a. Trend in the wide sense or trend-cycle component (Pt)

Long-run trend or trend in the strict sense (Tt)

- Concept: difficult to define in a formal way.

Cyclical component or Cycle (Ct)

c. Irregular, erratic or residual component (Ut)

5.2.2. AGGREGATION SCHEMES (WAYS OF COMBINING THE COMPONENTS)

We consider two types of aggregation schemes:

b) Multiplicative scheme (or logarithmic additive)

Determining the type of scheme

In practice, the procedure is as it follows:

1. Calculation of the values for Yt = lnXt.

5.3. Trend analysis

There is a wide variety of methods in order to isolate the long-run evolution of a

5.3.1. ANALYTICAL ADJUSTMENT METHOD

5.3.2. MOVING-AVERAGE METHOD

k+1 k+3 k+5

are whole values when k is odd.

second moving-averages series.

If the adequate moving average is selected, seasonal and irregular components

Periodicity Frequency, k No. lost observations in No. lost observations in Pt

Period Xt MA4(Xt) Pt=MA2[MA4(Xt)]

5.4. Seasonality analysis. Seasonally adjusted time series

Hypothesis 1: seasonality associated to season j does not vary in the whole

Hypothesis 2: the mean of the seasonal components is zero in the additive

not always take the same value).

Illustration: graph for a time series

For example, when we analyze the evolution of unemployment in Spain it is quite

I quarter II quarter III quarter IV quarter

Zj -0.097 -1.878 -1.831 3.819

Sj -0.100 -1.881 -1.834 3.816

The corresponding graph is:

Under an additive scheme, we determine the irregular component as follows:

2014.QI 5.2 6.350 -0.100 5.300 -1.050

Heating appliances sales (in 104 )

1995 1996 1997 1998 1999

An ice-cream manufacturer company shows the following four-monthly turnover:

Trend in a four-monthly series: calculation of moving averages of order 3 (MA3).

1520 3813 2500

1688 4397 2773

Trend series: Period Trend

Procedure for calculating the seasonal component:

first of all, we need the values of the series without trend

X0502 P(0502)= 3813 2611 = 1202

X0902 P0902= 4397 2952.67 = 1444.33

Final values: Period Series without trend

We move these values to the following table:

Year Four-month period 1 Four-month period 2 Four-month period 3

Mean in each Sum of

Sum/3 -0.71 -0.71 -0.71

Values for the seasonal component: SFour-month period 1 = -1169.13

Seasonally adjusted series: Period SAt

Procedure for calculating the irregular component: