Re: Question regarding modelling for time series

Sergey,

thank you very much for your hints, I will play a bit with that and
maybe come back to the list.

Just for clarification, I attached some more explanation and examples below.

2012/9/5 Sergey Konoplev <gray.ru@gmail.com>:
> I am not quite understand what is meant here. Could you please provide
> more explanation and some examples.

Imagine, the time series is published monthly, at the first day of a
month with the value for the previous month, such like:

Unemployment; release: 2011/12/01; reporting: 2011/11/01; value: 1
Unemployment; release: 2011/11/01; reporting: 2011/10/01; value: 2
Unemployment; release: 2011/10/01; reporting: 2011/09/01; value: 3
Unemployment; release: 2011/09/01; reporting: 2011/08/01; value: 4

Now, imagine, that on every release, the value for the previous month
is revised, such like:

Unemployment; release: 2011/12/01; reporting: 2011/11/01; value: 1
Unemployment; release: 2011/12/01; reporting: 2011/10/01; value: 2.5

Unemployment; release: 2011/11/01; reporting: 2011/10/01; value: 2
Unemployment; release: 2011/11/01; reporting: 2011/09/01; value: 3.5

Unemployment; release: 2011/10/01; reporting: 2011/09/01; value: 3
Unemployment; release: 2011/10/01; reporting: 2011/08/01; value: 4.5

Unemployment; release: 2011/09/01; reporting: 2011/08/01; value: 4
Unemployment; release: 2011/09/01; reporting: 2011/07/01; value: 5.5

So, what I have now is a time series from 2011/07/01 to 2011/11/01.

The most recent observation (release) ex-post is:  [1]
Unemployment; release: 2011/12/01; reporting: 2011/11/01; value: 1
Unemployment; release: 2011/12/01; reporting: 2011/10/01; value: 2.5

Since the data is not revised further than one month behind, the whole
series ex-post would look like that: [3]
Unemployment; release: 2011/12/01; reporting: 2011/11/01; value: 1
Unemployment; release: 2011/12/01; reporting: 2011/10/01; value: 2.5

Unemployment; release: 2011/11/01; reporting: 2011/09/01; value: 3.5

Unemployment; release: 2011/10/01; reporting: 2011/08/01; value: 4.5

Unemployment; release: 2011/09/01; reporting: 2011/07/01; value: 5.5

Whereas, the "known-to-market"-series would look like that: [2]

Unemployment; release: 2011/12/01; reporting: 2011/11/01; value: 1
Unemployment; release: 2011/11/01; reporting: 2011/10/01; value: 2
Unemployment; release: 2011/10/01; reporting: 2011/09/01; value: 3
Unemployment; release: 2011/09/01; reporting: 2011/08/01; value: 4

That are the series I want to get from the db.


--Alex