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On Structural Time Series Models and the Characterization of Components

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  • Maravall, Agustin

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  • Maravall, Agustin, 1985. "On Structural Time Series Models and the Characterization of Components," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 350-355, October.
  • Handle: RePEc:bes:jnlbes:v:3:y:1985:i:4:p:350-55
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    Cited by:

    1. Stephen Pollock, 2014. "Trends Cycles and Seasons: Econometric Methods of Signal Extraction," Discussion Papers in Economics 14/04, Department of Economics, University of Leicester.
    2. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
    3. Tommaso Proietti & Marco Riani, 2009. "Transformations and seasonal adjustment," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 47-69, January.
    4. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. 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.
    6. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Working Papers 0208, Banco de España;Working Papers Homepage.
    7. Michele Caivano & Andrew Harvey & Alessandra Luati, 2016. "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 99-120, March.
    8. Dadashova, Bahar & Ramírez Arenas, Blanca & McWilliams Mira, José & Izquierdo Aparicio, Francisco, 2014. "Explanatory and prediction power of two macro models. An application to van-involved accidents in Spain," Transport Policy, Elsevier, vol. 32(C), pages 203-217.
    9. Philip Hans Franses & Yoshinori Kawasaki, 2004. "Do seasonal unit roots matter for forecasting monthly industrial production?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 77-88.
    10. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    11. Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013. "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
    12. Harvey, Andrew C. & Delle Monache, Davide, 2009. "Computing the mean square error of unobserved components extracted by misspecified time series models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 283-295, February.
    13. Yoshinori Kawasaki & Philip Hans Franses, 2003. "Detecting seasonal unit roots in a structural time series model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(4), pages 373-387.

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