Missing observations in ARIMA models: Skipping approach versus additive outlier approach
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References listed on IDEAS
- Sargan, J D & Drettakis, E G, 1974. "Missing Data in an Autoregressive Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 39-58, February.
- Agustín Maravall & Daniel Peña, 1996. "Missing Observations and Additive Outliers in Time Series Models," Working Papers 9612, Banco de España;Working Papers Homepage.
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- Qian, Hang, 2012. "Essays on statistical inference with imperfectly observed data," ISU General Staff Papers 201201010800003618, Iowa State University, Department of Economics.
- Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
- Brunhes-Lesage, V. & Darné, O., 2008. "Why calculate a business sentiment indicator for services?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 21-30, Autumn.
- Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España;Working Papers Homepage.
- Andy Lee & John Yick & Yer Van Hui, 2001. "Sensitivity of the portmanteau statistic in time series modeling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 691-702.
- Alonso, Andres M. & Sipols, Ana E., 2008. "A time series bootstrap procedure for interpolation intervals," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1792-1805, January.
- Shigeru Fujita & Christopher J. Nekarda & Garey Ramey, 2007. "The cyclicality of worker flows: new evidence from the SIPP," Working Papers 07-5, Federal Reserve Bank of Philadelphia.
- Zudi Lu & Y. Hui, 2003. "L 1 linear interpolator for missing values in time series," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 197-216, March.
- Maravall, Agustin, 2006.
"An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment,"
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- Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Working Papers 0524, Banco de España;Working Papers Homepage.
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