Seasonal adjustment of the Bank of Russia payment system financial flows data
Книги

Seasonal adjustment of the Bank of Russia payment system financial flows data

Книги

Seasonal adjustment of the Bank of Russia payment system financial flows data

Seasonal adjustment of the Bank of Russia payment system financial flows data / S. Seleznev, N. Turdyeva, R. Khabibullin, A. Tsvetkova; The Central Bank of Russian Federation. — Moscow : Bank of Russia, 2020. — 22 p.: il.. — (Working paper series; 65, december). — References: p. 13-14.

Аннотация

This paper describes the seasonal adjustment algorithm used by the Bank of Russia to clean up data for "Monitoring of Sectoral Financial Flows" weekly publication. We have developed a simple and fast procedure based on a set of trigonometric functions and dummy variables that demonstrates good results in terms of various quality metrics and can be easily modified for working with more flexible model specifications.
  • УДК:
    336.711(470)

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