Computing the mean square error of unobserved components extracted by misspecified time series models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- James H. Stock & Mark W. Watson, 2007. "Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
- Tommaso Proietti, 2005.
"Forecasting and signal extraction with misspecified models,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
- Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, EconWPA.
- Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- 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.
- Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-373, July.
- James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Flaig Gebhard, 2015.
"Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik),
De Gruyter, vol. 235(6), pages 518-538, December.
- Gebhard Flaig, 2012. "Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter," CESifo Working Paper Series 3816, CESifo Group Munich.
- Rodríguez, Alejandro & Ruiz, Esther, 2012.
"Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(1), pages 62-74, January.
- Rodríguez, Alejandro & Ruiz, Esther, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de Estadística.
- repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1139-8 is not listed on IDEAS
- Theofilakou, Nancy & Stournaras, Yannis, 2012. "Current account adjustments in OECD countries revisited: The role of the fiscal stance," Journal of Policy Modeling, Elsevier, vol. 34(5), pages 719-734.
- Badarau-Semenescu, Cristina & Ndiaye, Cheikh Tidiane, 2010. "Politique économique et transmission des chocs dans la zone euro," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(1), pages 35-77, mars.
More about this item
KeywordsDetrending Exponentially weighted moving average Hodrick-Prescott filter Kalman filter Smoother;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:33:y:2009:i:2:p:283-295. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jedc .