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Extraction and forecasting of cyclic components of time series?
Hellu!I have this time series, and I want to predict its cyclical behavior in the future.Im thinking; decompose the T-S into trend and cycles, removing noise, then try to find a model for the cyclical part? What model should I use for forecasting the cycles, GARCH?Is there any good free software that I could use for this? Much appreciated!
Extraction and forecasting of cyclic components of time series?
Take a look at the following Pollock, S. (2006)Trend Estimation and Detending, in Advances in Computational Economcis Finance and Management Science, Springer-VerlagOr some of his papers online
Extraction and forecasting of cyclic components of time series?
Ok..I'll try that.Thanks guys for the help!
Extraction and forecasting of cyclic components of time series?
You can try to download DEMETRA which is used for thoses purposes by central bankshttp://circa.europa.eu/irc/dsis/eurosam/info/data/demetra.htm