Abstract

This book is an introduction to Time Series Analysis methods for Official Statistics. The book is divided into four chapters. Chapter 1 offers a brief introduction to time series analysis and presents ARMA models, with applications in Julia. Chapter 2 discusses the problem of seasonality in time series and some techniques for seasonal adjustment using the RJDemetra package. Chapter 3 is about aggregation and disaggregation of time series having different frequencies, with examples using Eurostat data. Chapter 4 discusses the best-practices in data publication and review, with a focus on revisions analysis.

This book has been realized on behalf of Eurostat and the University of Pisa (Italy) as a teaching material for the European Masters in Official Statistics (EMOS).