Estimation error and the specification of unobserved component models

DOI10.1016/S0304-4076(98)00094-3zbMATH Open0951.62079MaRDI QIDQ1806697FDOQ1806697

Agustín Maravall, C. Planas

Publication date: 4 January 2001

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

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zbMATH Keywords

identificationseasonal adjustmentsignal extractionARIMA modelsestimation errorunobserved component models

Mathematics Subject Classification ID

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

Cites Work

• Seasonal Adjustment by Signal Extraction
• Title not available (Why is that?)
• Signal extraction from nonstationary time series
• Signal extraction error in nonstationary time series
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Encompassing univariate models in multivariate time series. A case study
• Data revisions with moving average seasonal adjustment procedures
• Revisions in ARIMA Signal Extraction
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Some consideration of decomposition of a time series
• Some efficient computational procedures for high order ARMA models
• Uncertainty in Model-Based Seasonal Adjustment Procedures and Construction of Minimax Filters

Cited In (12)

• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
• Signal extraction and the formulation of unobserved components models
• Predictability, real time estimation, and the formulation of unobserved components models
• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
• Title not available (Why is that?)
• Coerenza e revisione nelle componenti canoniche. (Coherence and revision in canonical components)
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Title not available (Why is that?)
• Unobserved variables. Models and misunderstandings
• Asymptotic analysis of the squared estimation error in misspecified factor models
• Specification via model selection in vector error correction models

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