Non-Admissible Decompositions in Unobserved Components Models
AbstractThis article deals with the problem of decomposing a time series into a sum of unobserved components as in seasonal adjustment or in trend-cycle decompositions. In particular, we analyze the case where model-based decompositions as performed by the so-called Structural Time Series models and by ARIMA-model-based cannot be drawn without yielding some components spectra with negative values.
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Bibliographic InfoPaper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9613.
Length: 32 pages
Date of creation: 1996
Date of revision:
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Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.
Web page: http://www.cemfi.es/
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