Publication:685909

DOI10.1016/0304-4076(93)90099-QzbMATH Open0800.62801OpenAlexW1541591774MaRDI QIDQ685909FDOQ685909

Augustıń Maravall

Publication date: 17 October 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90099-q

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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• Seasonal Adjustment by Signal Extraction
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Time Series Regression with a Unit Root
• Signal extraction from nonstationary time series
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Data revisions with moving average seasonal adjustment procedures
• A note on minimum mean squared error estimation of signals with unit roots
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Some consideration of decomposition of a time series
• On the dynamic structure of a seasonal component

Cited In (18)

• New algorithms for dating the business cycle
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Estimating trends with percentage of smoothness chosen by the user
• Seasonality in COVID-19 times
• A spectral EM algorithm for dynamic factor models
• Linear dynamic harmonic regression
• Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea
• Recursive and en-bloc approaches to signal extraction
• Time series modeling and decomposition
• FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES
• Testing for deterministic seasonality in mixed-frequency VARs
• Forecasting trends with asset prices
• Trend estimation of financial time series
• Signal extraction and filtering by linear semiparametric methods
• Temporal and contemporaneous disaggregation of multiple economic time series
• On the effect of seasonal adjustment on the log-periodogram regression
• Business cycle durations
• The beveridge-nelson decomposition: Properties and extensions

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