Estimation error and the specification of unobserved component models
From MaRDI portal
Publication:1806697
DOI10.1016/S0304-4076(98)00094-3zbMATH Open0951.62079MaRDI QIDQ1806697FDOQ1806697
Authors: C. Planas, Agustín Maravall 
Publication date: 4 January 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Recommendations
identificationseasonal adjustmentsignal extractionARIMA modelsestimation errorunobserved component models
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 (15)
- An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
- Signal extraction and the formulation of unobserved components models
- On the correlations of trend-cycle errors
- 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
- Computing the mean square error of unobserved components extracted by misspecified time series models
- Single and multiple error state-space models for signal extraction
- 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
This page was built for publication: Estimation error and the specification of unobserved component models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1806697)
