Advanced Search
MyIDEAS: Login to save this paper or follow this series

Estimation Error and the Specification of Unobserved Component Models

Contents:

Author Info

  • Agustín Maravall
  • Cristophe Planas

Abstract

The 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.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9608.

as in new window
Length: 44 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bde:wpaper:9608

Contact details of provider:
Email:
Web page: http://www.bde.es/
More information through EDIRC

Related research

Keywords: EVALUATION; ECONOMETRICS; MODELS;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, Elsevier, vol. 14(1), pages 95-114, September.
  2. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 2(3), pages 147-74, Summer.
  3. Robert F. Engle, 1978. "Estimating Structural Models of Seasonality," NBER Chapters, National Bureau of Economic Research, Inc, in: Seasonal Analysis of Economic Time Series, pages 281-308 National Bureau of Economic Research, Inc.
  4. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, Elsevier, vol. 61(2), pages 197-233, April.
  5. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, National Bureau of Economic Research, Inc, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
  6. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 107, Board of Governors of the Federal Reserve System (U.S.).
  7. Burridge, Peter & Wallis, Kenneth F, 1984. "Calculating the Variance of Seasonally Adjusted Series," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 251, University of Warwick, Department of Economics.
  8. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 2(4), pages 291-320, October.
  9. George E. P. Box & Steven Hillmer & George C. Tiao, 1979. "Analysis and Modeling of Seasonal Time Series," NBER Chapters, National Bureau of Economic Research, Inc, in: Seasonal Analysis of Economic Time Series, pages 309-346 National Bureau of Economic Research, Inc.
  10. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers, Banco de Espa�a 9609, Banco de Espa�a.
  11. Hillmer, Steven C, 1985. "Measures of Variability for Model-based Seasonal Adjustment Procedures," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 3(1), pages 60-68, January.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 1999. "What Drives Private Saving Across the World?," Working Papers Central Bank of Chile, Central Bank of Chile 47, Central Bank of Chile.
  2. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print, HAL halshs-00201309, HAL.
  3. Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Banco de Espa�a Working Papers, Banco de Espa�a 0524, Banco de Espa�a.
  4. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Kaloyan Ganev, 2004. "Statistical estimates of the deviations from the macroeconomic potential. An application to the economy of Bulgaria," Macroeconomics, EconWPA 0409010, EconWPA.
  6. Andrés Bujosa Brun & Marcos Bujosa & Antonio García-Ferrer, 2013. "Mathematical framework for pseudo-spectra of linear stochastic difference equations," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 2013-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  7. Daragh Clancy, 2013. "Output Gap Estimation Uncertainty: Extracting the TFP Cycle Using an Aggregated PMI Series," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 44(1), pages 1-18.
  8. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Banco de Espa�a Working Papers, Banco de Espa�a 0112, Banco de Espa�a.
  9. Loayza, Norman & Schmidt-Hebbel, Klaus & Serven, Luis, 2000. "What drives private saving around the world?," Policy Research Working Paper Series 2309, The World Bank.
  10. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Banco de Espa�a Working Papers, Banco de Espa�a 0012, Banco de Espa�a.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bde:wpaper:9608. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mar�a Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de Espa�a).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.