Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples
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Bibliographic InfoPaper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9335.
Length: 24 pages
Date of creation: 1993
Date of revision:
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- Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996.
"Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(3), pages 374-86, July.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO.
- Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
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