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Linear dynamic harmonic regression

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  • Bujosa, Marcos
  • Garcia-Ferrer, Antonio
  • Young, Peter C.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4P8SJ5J-1/2/2f76dc1440e8b88978890689eac4691c
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 52 (2007)
Issue (Month): 2 (October)
Pages: 999-1024

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Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:999-1024

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Banco de Espa�a Working Papers 0524, Banco de Espa�a.
  2. Garcia-Ferrer, Antonio & Bujosa-Brun, Marcos, 2000. "Forecasting OECD industrial turning points using unobserved components models with business survey data," International Journal of Forecasting, Elsevier, vol. 16(2), pages 207-227.
  3. Peter Young, 1999. "Recursive and en-bloc approaches to signal extraction," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 103-128.
  4. García-Ferrer Antonio & Queralt Ricardo A., 1998. "Using Long-, Medium-, and Short-Term Trends to Forecast Turning Points in the Business Cycle: Some International Evidence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(2), pages 1-29, July.
  5. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  6. Casals J. & Jerez M. & Sotoca S., 2002. "An Exact Multivariate Model-Based Structural Decomposition," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 553-564, June.
  7. Casals, Jose & Jerez, Miguel & Sotoca, Sonia, 2000. "Exact smoothing for stationary and non-stationary time series," International Journal of Forecasting, Elsevier, vol. 16(1), pages 59-69.
  8. Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
  9. Maravall, Agustin, 1993. "Stochastic linear trends : Models and estimators," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 5-37, March.
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Citations

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Cited by:
  1. Trapero, Juan R. & Pedregal, Diego J., 2009. "Frequency domain methods applied to forecasting electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 727-735, September.
  2. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
  3. José Casals Carro & Alfredo García-Hiernaux & Miguel Jerez, 2010. "From general State-Space to VARMAX models," Documentos del Instituto Complutense de Análisis Económico 1002, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
  4. Alfredo Garcia-Hiernaux & Jose Casals & Miguel Jerez, 2007. "Estimating The System Order By Subspace Methods," Statistics and Econometrics Working Papers ws070301, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. Antonio Garc�a-ferrer & Aránzazu De Juan & Pilar Poncela, 2007. "The relationship between road traffic accidents and real economic activity in Spain: common cycles and health issues," Health Economics, John Wiley & Sons, Ltd., vol. 16(6), pages 603-626.

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