This 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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Paper 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: Handle: RePEc:fth:cemfdt:9613
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