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Exact smoothing for stationary and non-stationary time series

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  • Casals, Jose
  • Jerez, Miguel
  • Sotoca, Sonia

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File URL: http://www.sciencedirect.com/science/article/B6V92-4183JKT-4/2/ae8c0bf12c5ae06d155f0a4423d0ccc7
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 16 (2000)
Issue (Month): 1 ()
Pages: 59-69

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Handle: RePEc:eee:intfor:v:16:y:2000:i:1:p:59-69

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

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References

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  1. Swamy, P A V B & Tavlas, George S, 1995. " Random Coefficient Models: Theory and Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 9(2), pages 165-96, June.
  2. Casals, Jose & Sotoca, Sonia, 1997. "Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs," Economics Letters, Elsevier, vol. 57(3), pages 261-267, December.
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Cited by:
  1. Bujosa, Marcos & Garcia-Ferrer, Antonio & Young, Peter C., 2007. "Linear dynamic harmonic regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 999-1024, October.
  2. Juan de Dios Tena & Miguel Jerez & Sonia Sotoca & Nicole Carvallo, 2006. "A Proposal To Obtain A Long Quarterly Chilean Gdp Series," Statistics and Econometrics Working Papers ws061706, Universidad Carlos III, Departamento de Estadística y Econometría.
  3. José Casals & Sonia Sotoca & Miguel Jerez, 2012. "Minimally Conditioned Likelihood for a Nonstationary State Space Model," Documentos del Instituto Complutense de Análisis Económico 2012-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
  4. José Casals Carro & Miguel Jerez Méndez & Sonia Sotoca López, 2006. "Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising," Documentos del Instituto Complutense de Análisis Económico 0602, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
  5. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany.

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