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Forecasting and Signals Extraction in Autoregressive-moving Average Models

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Author Info
Burridge, Peter
Wallis, Kenneth F

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Abstract

This paper is a complete revision and considerable extension of "signal extraction in nonstationary series", Warwick Economic Research Paper No. 234, August 1983. Early versions of parts of the work were presented at European meetings of the Econometric Society, Pisa, 1983 and Madrid, 1984. This research was supported by a grant from the Economic and Social Research Council.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 274.

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Length: 60 pages
Date of creation: 1986
Date of revision:
Handle: RePEc:wrk:warwec:274

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