Research Staff
Disclaimer. The Curriculum Vitae in this page, and any links from this page to websites outside of the www.bde.es domain, are the sole responsibility of Agustín Maravall. The Banco de España is not responsible for their content.
Agustín Maravall
Unit HeadTime Series Analysis Unit
Monetary and Financial Studies Department
DG Economics, Statistics, and Research
Contact Information
- Address: Calle Alcalá 48, 28014 Madrid, España
- e-mail:
- Personal web-page: http://www.bde.es/servicio/software/econome.htm
Fields of Interest
- Time Series Analysis
- Seasonal Adjustment, trends and cycles
- Dynamic econometric modelling
JEL Codes
- C22, C5, C82, C87, E32
Curriculum Vitae
Selected Publications and Working Papers
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“An application of the TRAMO-SEATS Automatic Procedure; Direct versus Indirect Adjustment.”
Agustín Maravall (2006-01)
Computational Statistics and Data Analysis - 50, pp. 2167-2190
JEL codes: C22, C5, C82, C87, E32- Supplementary files: Banco de España Working Paper #0524
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“Combining Filter Design with Model-based Filtering: An Application to Business-cycle Estimation”
Regina Kaiser and Agustín Maravall (2005-01)
International Journal of Forecasting - 21, pp. 691-710
JEL codes: C22, C5, C82, C87, E32- Supplementary files: Banco de España Working Paper #0417
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“Seasonal Adjustment and Signal Extraction in Economic Time Series”
Victor Gómez and Agustín Maravall (2001-01)
A Course in Time Series Analysis; NY: J.Wiley - Chapter 8, 202-247
JEL codes: C22, C5, C82, C87, E32 -
“Estimation Error and the Specification of Unobserved Component Models”
Agustín Maravall and Cristophe Planas (1999-01)
Journal of Econometrics - 92, 325-353
JEL codes: C22, C5, C82, C87, E32 -
“Unobserved Components in ARCH Models: An Application to Seasonal Adjustment.”
Gabriele Fiorentini and Agustín Maravall (1996-01)
Journal of Forescasting - 15, 175-201
JEL codes: C22, C5, C82, C87, E32 -
“Estimation Prediction and Interpolation for Nonstationary Series with the Kalman Filter”
Victor Gómez and Agustín Maravall (1994-01)
Journal of the American Statistical Association - 89, 611-624
JEL codes: C22, C5, C82, C87, E32 -
“The Transmission of Data Noise into Policy Noise in US Monetary Control”
Agustín Maravall and David A.Pierce (1986-01)
Econometrica - 54, 961-979
JEL codes: C22, C5, C82, C87, E32 -
“An Application of Nonlinear Time Series Forecasting”
Agustín Maravall (1983-01)
Journal of Business and Economic Statistics - 1, 66-74
JEL codes: C22, C5, C82, C87, E32
Additional Information
- Coauthor of several computer programs for time series analysis (TRAMO, SEATS, T-ERROR, TSW). The programs and documentation are available at: http://www.bde.es/servicio/software/econome.htm
