Computing the mean square error of unobserved components extracted by misspecified time series models
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- 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.
- Flaig Gebhard, 2015.
"Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter,"
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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.
- 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.
- 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,
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- 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
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KeywordsDetrending Exponentially weighted moving average Hodrick-Prescott filter Kalman filter Smoother;
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