On Structural Time Series Models and the Characterization of Components
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 3 (1985)
Issue (Month): 4 (October)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
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- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010. "Modeling Trigonometric Seasonal Components for Monthly Economic Time Series," Tinbergen Institute Discussion Papers 10-018/4, Tinbergen Institute.
- Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Banco de Espaï¿½a Working Papers 0208, Banco de Espa�a.
- Yoshinori Kawasaki & Philip Hans Franses, 2003. "Detecting seasonal unit roots in a structural time series model," Journal of Applied Statistics, Taylor and Francis Journals, vol. 30(4), pages 373-387.
- Kaiser, Regina & Maravall, Agustin, 2005.
"Combining filter design with model-based filtering (with an application to business-cycle estimation),"
International Journal of Forecasting,
Elsevier, vol. 21(4), pages 691-710.
- Regina Kaiser & Agustín Maravall, 2004. "Combining filter design with model based filtering (with an application to business cycle estimation)," Banco de Espaï¿½a Working Papers 0417, Banco de Espa�a.
- Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
- Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
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