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On Structural Time Series Models and the Characterization of Components

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  • Maravall, Agustin

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Suggested Citation

  • Maravall, Agustin, 1985. "On Structural Time Series Models and the Characterization of Components," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 350-355, October.
    • Handle: RePEc:bes:jnlbes:v:3:y:1985:i:4:p:350-55
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    Cited by:

    1. Stephen Pollock, 2014. "Trends Cycles and Seasons: Econometric Methods of Signal Extraction," Discussion Papers in Economics 14/04, Division of Economics, School of Business, University of Leicester.
    2. Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, January.
    3. 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.
    4. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España.
    5. Dadashova, Bahar & Ramírez Arenas, Blanca & McWilliams Mira, José & Izquierdo Aparicio, Francisco, 2014. "Explanatory and prediction power of two macro models. An application to van-involved accidents in Spain," Transport Policy, Elsevier, vol. 32(C), pages 203-217.
    6. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    7. Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013. "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
    8. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
    9. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
    10. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
    12. Philip Hans Franses & Yoshinori Kawasaki, 2004. "Do seasonal unit roots matter for forecasting monthly industrial production?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 77-88.
    13. Danny Pfeffermann, 2022. "Time series modelling of repeated survey data for estimation of finite population parameters," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 1757-1777, October.
    14. 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.
    15. Yoshinori Kawasaki & Philip Hans Franses, 2003. "Detecting seasonal unit roots in a structural time series model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(4), pages 373-387.

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