Estimation error and the specification of unobserved component models
AbstractThe paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and covariances of the different types of estimation errors (errors in the final, preliminary, and concurrent estimator and in the forecast) are obtained for any admissible decomposition.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 92 (1999)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Agustín Maravall & Cristophe Planas, 1996. "Estimation Error and the Specification of Unobserved Component Models," Banco de Espaï¿½a Working Papers 9608, Banco de Espa�a.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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