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The Prediction of Time Series with Trends and Seasonalities

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  • Gersch, Will
  • Kitagawa, Genshiro

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Suggested Citation

  • Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-264, July.
  • Handle: RePEc:bes:jnlbes:v:1:y:1983:i:3:p:253-64
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    Citations

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    Cited by:

    1. Ismael Sanchez & Daniel Pena, 2001. "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 45-66, January.
    2. Siem Jan Koopman & Kai Ming Lee, 2009. "Seasonality with trend and cycle interactions in unobserved components models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(4), pages 427-448, September.
    3. Vos, A.F. & Steyn, I.J., 1990. "Stochastic nonlinearity : a firm basis for the flexible functional form," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
    5. Kato, Hiroko & Naniwa, Sadao & Ishiguro, Makio, 1996. "A bayesian multivariate nonstationary time series model for estimating mutual relationships among variables," Journal of Econometrics, Elsevier, vol. 75(1), pages 147-161, November.
    6. Ohkusa, Yasushi, 1995. "Testing for the matching hypothesis in Japanese manufacturing," Japan and the World Economy, Elsevier, vol. 7(2), pages 175-198, July.
    7. Catalin Angelo IOAN & Gina IOAN, 2013. "The Open Society, Institutions and Economic Performance," EuroEconomica, Danubius University of Galati, issue 2(32), pages 175-180, September.
    8. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    9. Fukuda, Kosei, 2012. "Illustrating extraordinary shocks causing trend breaks," Economic Modelling, Elsevier, vol. 29(4), pages 1045-1052.
    10. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
    11. Saligari, Grant R. & Snyder, Ralph D., 1997. "Trends, lead times and forecasting," International Journal of Forecasting, Elsevier, vol. 13(4), pages 477-488, December.
    12. Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997. "Detecting shocks: Outliers and breaks in time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 387-422, October.
    13. Thury, Gerhard & Witt, Stephen F., 1998. "Forecasting industrial production using structural time series models," Omega, Elsevier, vol. 26(6), pages 751-767, December.
    14. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
    15. Jukka Nyblom & Andrew Harvey, 2001. "Testing against smooth stochastic trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 415-429.
    16. R. Bhansali, 1996. "Asymptotically efficient autoregressive model selection for multistep prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(3), pages 577-602, September.
    17. T. Higuchi, 1991. "Frequency domain characteristics of linear operator to decompose a time series into the multi-components," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(3), pages 469-492, September.
    18. Peter Young, 1999. "Recursive and en-bloc approaches to signal extraction," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 103-128.

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