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Conditionally heteroscedastic unobserved component models and their reduced form

Listed author(s):
  • Pellegrini, Santiago
  • Ruiz, Esther
  • Espasa, Antoni

The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00438-8
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 107 (2010)
Issue (Month): 2 (May)
Pages: 88-90

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Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:88-90
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. 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, 02.
  2. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
  3. 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.
  4. Paolo Zaffaroni, 2007. "Contemporaneous aggregation of GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 521-544, 07.
  5. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
  6. Espasa, Antoni & Ruiz, Esther & Pellegrini, Santiago, 2007. "The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances," DES - Working Papers. Statistics and Econometrics. WS ws072706, Universidad Carlos III de Madrid. Departamento de Estadística.
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