Estimation error and the specification of unobserved component models

DOI10.1016/S0304-4076(98)00094-3MaRDI QIDQ1806697zbMATH OpenFDO

Authors C. Planas, Agustín Maravall

Publication date 4 January 2001

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

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)

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Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Data revisions with moving average seasonal adjustment procedures
• Encompassing univariate models in multivariate time series. A case study
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Revisions in ARIMA Signal Extraction
• Seasonal Adjustment by Signal Extraction
• Signal extraction error in nonstationary time series
• Signal extraction from nonstationary time series
• 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

(15)

• An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
• On the correlations of trend-cycle errors
• 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
• scientific article; zbMATH DE number 7028233 (Why is no real title available?)
• Coerenza e revisione nelle componenti canoniche. (Coherence and revision in canonical components)
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Computing the mean square error of unobserved components extracted by misspecified time series models
• Single and multiple error state-space models for signal extraction
• scientific article; zbMATH DE number 2230348 (Why is no real title available?)
• 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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