SHORT-TERM 
                     ANALYSIS OF 
                 MACROECONOMIC 
                     TIME SERIES 
                        Agustin Maravall 
                    Banco de España - Servicio de Estudios
                      Documento de Trabajo nº 9607
                             SHORT-TERM 
                             ANALYSIS OF 
                         MACROECONOMIC 
                              TIME SERIES 
                                Agustin Maravall 
                            Banco de Espana - Servicio de Estudios 
                               Documento de Trabajo n' 9607 
                          In publishing this series the Banco de Espana seeks to disseminate 
                              studies of interest  that will help acquaint readers better 
                                      with the Spanish economy: 
                            The analyses, opinions and findings of these papers represent 
                             the views of their authors: they are Dot  necessarily those 
                                       of the Banco de Espana. 
                                         ISSN: 0213-2710 
                                        ISBN: 84-7793-462-2 
                                      Dep6sito legal: M·9882·1996 
                                     Imprenta del Banco de Espana 
                                          Abstract 
                 The  paper  deals  with  the  statistical  treatment  of  macroeconomic  data  for 
                 short-run economic analysis,  monitoring and control.  The main applications 
                 are short-term forecasting and unobserved components estimation, including 
                 trend and cycle estimation,  and,  most often,  seasonal adjustment. The paper 
                 briefly  reviews  some  of  the  recent  developments  in  the  field,  both  at  the 
                 methodolOgical  and  applied levels.  Then,  it is  argued that a  fairly  general. 
                 approach,  based  on  signal  extraction  methods  and  ARlMA  models,  will 
                 gradually spread as the dominant methodology.  The last section  contains  a 
                 word  of  caution,  and  illustrates  the  danger  of  applying  these  short-term 
                 statistical tools to long-term economic analysis. 
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