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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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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. 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.
  2. P.A.V.B. Swamy & George S. Tavlas, 1993. "Random coefficient models: theory and applications," Finance and Economics Discussion Series 93-14, Board of Governors of the Federal Reserve System (U.S.).
  3. Siem Jan Koopman & N.G. Shephard, 1992. "Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)," STICERD - Econometrics Paper Series /1992/241, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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Cited by:
  1. Juan de Dios Tena & Miguel Jerez & Sonia Sotoca & Nicole Carvallo, 2006. "A Proposal to Obtain a Long Quarterly Chilean GDP Series," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 43(128), pages 285-300.
  2. 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 de Trabajo del ICAE 0602, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. 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.
  4. 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.
  5. José Casals & Sonia Sotoca & Miguel Jerez, 2012. "Minimally Conditioned Likelihood for a Nonstationary State Space Model," Documentos de Trabajo del ICAE 2012-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

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