Stochastic linear trends. Models and estimators

DOI10.1016/0304-4076(93)90099-QMaRDI QIDQ685909zbMATH OpenOpenAlexFDO

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

Cited in

(18)

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

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