Eva Senra | Universidad de Alcala (original) (raw)

Papers by Eva Senra

Research paper thumbnail of Strong Separability in Circulant SSA

Springer Proceedings in Mathematics & Statistics, 2018

Circulant singular spectrum analysis (CSSA) is an automated variant of singular spectrum analysis... more Circulant singular spectrum analysis (CSSA) is an automated variant of singular spectrum analysis (SSA) developed for signal extraction. CSSA allows to identify the association between the extracted component and the frequencies they represent without the intervention of the analyst. Another relevant characteristic is that CSSA produces strongly separable components, meaning that the resulting estimated signals are uncorrelated. In this contribution we deepen in the strong separability of CSSA and compare it to SSA by means of a detailed example. Finally, we apply CSSA to UK and US quarterly GDP to check that it produces reliable cycle estimators and strong separable components. We also test the absence of any seasonality in the seasonally adjusted time series estimated by CSSA.

Research paper thumbnail of Circulant Singular Spectrum Analysis to Monitor the State of the Economy in Real Time

Mathematics, 2021

Real-time monitoring of the economy is based on activity indicators that show regular patterns su... more Real-time monitoring of the economy is based on activity indicators that show regular patterns such as trends, seasonality and business cycles. However, parametric and non-parametric methods for signal extraction produce revisions at the end of the sample, and the arrival of new data makes it difficult to assess the state of the economy. In this paper, we compare two signal extraction procedures: Circulant Singular Spectral Analysis, CiSSA, a non-parametric technique in which we can extract components associated with desired frequencies, and a parametric method based on ARIMA modelling. Through a set of simulations, we show that the magnitude of the revisions produced by CiSSA converges to zero quicker, and it is smaller than that of the alternative procedure.

Research paper thumbnail of Forecast combination through dimension reduction techniques

International Journal of Forecasting, 2011

Research paper thumbnail of Measuring uncertainty and assessing its predictive power in the euro area

Empirical Economics, 2016

Research paper thumbnail of Boletín IPC. Nº 8

Research paper thumbnail of Índice de precios al consumo : boletín IPC. Nº junio 1994

Research paper thumbnail of Boletín IPC. Nº 11

Research paper thumbnail of Boletín IPC. Nº 10

Research paper thumbnail of Boletín IPC. Nº 7

Research paper thumbnail of Long-term links between raw materials prices, real exchange rate and relative de-industrialization in a commodity-dependent economy: empirical evidence of “Dutch disease” in Colombia

Empirical Economics, 2016

Research paper thumbnail of Índice de precios al consumo : boletín IPC. Nº agosto 1994

Research paper thumbnail of Boletín IPC. Nº 12

Research paper thumbnail of Boletín IPC. Nº 9

Research paper thumbnail of Pronósticos restringidos de series temporales económicas múltiples para el seguimiento de metas por lograr. El caso de la inflación y el PIB de México

Doctorado en Economía- …, 2002

Downloadable! En este trabajo se extienden algunos resultados que actualmente están disponibles p... more Downloadable! En este trabajo se extienden algunos resultados que actualmente están disponibles para aplicarse en situaciones donde se requieran pronósticos restringidos, tanto univariantes como multivariantes. Como uso fundamental de la técnica, se considera ...

Research paper thumbnail of A nonlinear model for the investment function in Spain

This paper developpes a nonlinear single equation econometric model for the investment function i... more This paper developpes a nonlinear single equation econometric model for the investment function in Spain, taking as starting point the equation estimated by Andrés et al. (1990). This original model, linear in its structure, incorporates oscillant dynamic relationships between the dependent and the explanatory variables. In the nonlinear model estimated in this paper, the response of the investment to production

Research paper thumbnail of Consideraciones sobre la función de inversión en España

En este artículo se realiza un estudio detenido del modelo para la inversión estimado por Andrés ... more En este artículo se realiza un estudio detenido del modelo para la inversión estimado por Andrés et al. (1990). Dicha estimación contiene filtros racionales con raíces complejas que producen respuestas oscilantes ante variaciones de tipo impulso sobre las variables explicativas. Se detecta que tal característica de los filtros se debe a que las oscilaciones en la inversión ocurridas en los

Research paper thumbnail of Forecasting monetary union inflation: a disaggregated approach by countries and by sectors

Inflation in the European Monetary Union is measured by the Ra.IlJllonised Consumer Price Index (... more Inflation in the European Monetary Union is measured by the Ra.IlJllonised Consumer Price Index (RCP!) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the RCP! by countries. The paper shows that both

Research paper thumbnail of FORECASTING INFLATION IN THE EUROPEAN MONETARY UNION: A DISAGGREGATED APPROACH BY COUNTRIES AND BY SECTORS

Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices... more Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the HICP by countries. Both disaggregations are of

Research paper thumbnail of Forecast Combination through Factor Models: Assessing consensus and disagreement

The combination of individual forecasts is often a useful tool to improve forecast accuracy. This... more The combination of individual forecasts is often a useful tool to improve forecast accuracy. This paper considers factor models to produce a single forecast from several individual forecasts provided by the Survey of Professional Forecasters for the main US macroeconomic aggregates.

Research paper thumbnail of Los precios de los servicios en la economía española

La inflación global en España ha ido bajando desde principios de los años noventa hasta situarse ... more La inflación global en España ha ido bajando desde principios de los años noventa hasta situarse actualmente en torno al 3 por 100. En este trabajo se comprueba cómo la inflación tendencial, que excluye del cómputo global los precios de los alimentos no elaborados, energía, grasas, tabaco y paquetes turísticos, también se ha reducido, tanto en bienes como en servicios. Los sectores con mayores tasas anuales y pesos en la inflación del componente de servicios resultan ser vivienda, restaurantes y hoteles, y transporte. También se estudia el diferencial de inflación entre España y la Unión Monetaria Europea en el sector servicios, que para vivienda es de 1,5 puntos porcentuales, para restaurantes y hoteles es de 2 puntos y para transportes se anuló en 1999 y luego ha repuntado ligeramente. La reducción de la inflación tendencial en servicios ha sido importante, pero insuficiente en comparación con otros países europeos. Además, el diferencial de inflación entre bienes y servicios es a...

Research paper thumbnail of Strong Separability in Circulant SSA

Springer Proceedings in Mathematics & Statistics, 2018

Circulant singular spectrum analysis (CSSA) is an automated variant of singular spectrum analysis... more Circulant singular spectrum analysis (CSSA) is an automated variant of singular spectrum analysis (SSA) developed for signal extraction. CSSA allows to identify the association between the extracted component and the frequencies they represent without the intervention of the analyst. Another relevant characteristic is that CSSA produces strongly separable components, meaning that the resulting estimated signals are uncorrelated. In this contribution we deepen in the strong separability of CSSA and compare it to SSA by means of a detailed example. Finally, we apply CSSA to UK and US quarterly GDP to check that it produces reliable cycle estimators and strong separable components. We also test the absence of any seasonality in the seasonally adjusted time series estimated by CSSA.

Research paper thumbnail of Circulant Singular Spectrum Analysis to Monitor the State of the Economy in Real Time

Mathematics, 2021

Real-time monitoring of the economy is based on activity indicators that show regular patterns su... more Real-time monitoring of the economy is based on activity indicators that show regular patterns such as trends, seasonality and business cycles. However, parametric and non-parametric methods for signal extraction produce revisions at the end of the sample, and the arrival of new data makes it difficult to assess the state of the economy. In this paper, we compare two signal extraction procedures: Circulant Singular Spectral Analysis, CiSSA, a non-parametric technique in which we can extract components associated with desired frequencies, and a parametric method based on ARIMA modelling. Through a set of simulations, we show that the magnitude of the revisions produced by CiSSA converges to zero quicker, and it is smaller than that of the alternative procedure.

Research paper thumbnail of Forecast combination through dimension reduction techniques

International Journal of Forecasting, 2011

Research paper thumbnail of Measuring uncertainty and assessing its predictive power in the euro area

Empirical Economics, 2016

Research paper thumbnail of Boletín IPC. Nº 8

Research paper thumbnail of Índice de precios al consumo : boletín IPC. Nº junio 1994

Research paper thumbnail of Boletín IPC. Nº 11

Research paper thumbnail of Boletín IPC. Nº 10

Research paper thumbnail of Boletín IPC. Nº 7

Research paper thumbnail of Long-term links between raw materials prices, real exchange rate and relative de-industrialization in a commodity-dependent economy: empirical evidence of “Dutch disease” in Colombia

Empirical Economics, 2016

Research paper thumbnail of Índice de precios al consumo : boletín IPC. Nº agosto 1994

Research paper thumbnail of Boletín IPC. Nº 12

Research paper thumbnail of Boletín IPC. Nº 9

Research paper thumbnail of Pronósticos restringidos de series temporales económicas múltiples para el seguimiento de metas por lograr. El caso de la inflación y el PIB de México

Doctorado en Economía- …, 2002

Downloadable! En este trabajo se extienden algunos resultados que actualmente están disponibles p... more Downloadable! En este trabajo se extienden algunos resultados que actualmente están disponibles para aplicarse en situaciones donde se requieran pronósticos restringidos, tanto univariantes como multivariantes. Como uso fundamental de la técnica, se considera ...

Research paper thumbnail of A nonlinear model for the investment function in Spain

This paper developpes a nonlinear single equation econometric model for the investment function i... more This paper developpes a nonlinear single equation econometric model for the investment function in Spain, taking as starting point the equation estimated by Andrés et al. (1990). This original model, linear in its structure, incorporates oscillant dynamic relationships between the dependent and the explanatory variables. In the nonlinear model estimated in this paper, the response of the investment to production

Research paper thumbnail of Consideraciones sobre la función de inversión en España

En este artículo se realiza un estudio detenido del modelo para la inversión estimado por Andrés ... more En este artículo se realiza un estudio detenido del modelo para la inversión estimado por Andrés et al. (1990). Dicha estimación contiene filtros racionales con raíces complejas que producen respuestas oscilantes ante variaciones de tipo impulso sobre las variables explicativas. Se detecta que tal característica de los filtros se debe a que las oscilaciones en la inversión ocurridas en los

Research paper thumbnail of Forecasting monetary union inflation: a disaggregated approach by countries and by sectors

Inflation in the European Monetary Union is measured by the Ra.IlJllonised Consumer Price Index (... more Inflation in the European Monetary Union is measured by the Ra.IlJllonised Consumer Price Index (RCP!) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the RCP! by countries. The paper shows that both

Research paper thumbnail of FORECASTING INFLATION IN THE EUROPEAN MONETARY UNION: A DISAGGREGATED APPROACH BY COUNTRIES AND BY SECTORS

Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices... more Inflation in the European Monetary Union is measured by the Harmonised Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the European countries and another considers the HICP by countries. Both disaggregations are of

Research paper thumbnail of Forecast Combination through Factor Models: Assessing consensus and disagreement

The combination of individual forecasts is often a useful tool to improve forecast accuracy. This... more The combination of individual forecasts is often a useful tool to improve forecast accuracy. This paper considers factor models to produce a single forecast from several individual forecasts provided by the Survey of Professional Forecasters for the main US macroeconomic aggregates.

Research paper thumbnail of Los precios de los servicios en la economía española

La inflación global en España ha ido bajando desde principios de los años noventa hasta situarse ... more La inflación global en España ha ido bajando desde principios de los años noventa hasta situarse actualmente en torno al 3 por 100. En este trabajo se comprueba cómo la inflación tendencial, que excluye del cómputo global los precios de los alimentos no elaborados, energía, grasas, tabaco y paquetes turísticos, también se ha reducido, tanto en bienes como en servicios. Los sectores con mayores tasas anuales y pesos en la inflación del componente de servicios resultan ser vivienda, restaurantes y hoteles, y transporte. También se estudia el diferencial de inflación entre España y la Unión Monetaria Europea en el sector servicios, que para vivienda es de 1,5 puntos porcentuales, para restaurantes y hoteles es de 2 puntos y para transportes se anuló en 1999 y luego ha repuntado ligeramente. La reducción de la inflación tendencial en servicios ha sido importante, pero insuficiente en comparación con otros países europeos. Además, el diferencial de inflación entre bienes y servicios es a...