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Ex post and ex ante prediction of unobserved multivariate time series: a structural-model based approach

Listed author(s):
  • Fabio H. Nieto

    (Department of Statistics, National University of Colombia, Bogotá, COLOMBIA)

Registered author(s):

    A methodology for estimating high-frequency values of an unobserved multivariate time series from low-frequency values of and related information to it is presented in this paper. This is an optimal solution, in the multivariate setting, to the problem of ex post prediction, disaggregation, benchmarking or signal extraction of an unobservable stochastic process. Also, the problem of extrapolation or ex ante prediction is optimally solved and, in this context, statistical tests are developed for checking online the ocurrence of extreme values of the unobserved time series and consistency of future benchmarks with the present and past observed information. The procedure is based on structural or unobserved component models, whose assumptions and specification are validated with the data alone. Copyright © 2007 John Wiley & Sons, Ltd.

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    File URL: http://hdl.handle.net/10.1002/for.1017
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    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 26 (2007)
    Issue (Month): 1 ()
    Pages: 53-76

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    Handle: RePEc:jof:jforec:v:26:y:2007:i:1:p:53-76
    DOI: 10.1002/for.1017
    Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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    1. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    2. Nieto, Fabio H. & Guerrero, Victor M., 1995. "Kalman filter for singular and conditional state-space models when the system state and the observational error are correlated," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 303-310, March.
    3. Víctor Guerrero & Fabio Nieto, 1999. "Temporal and contemporaneous disaggregation of multiple economic time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 459-489, December.
    4. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    5. F. Javier Fernandez Macho & Andrew C. Harvey & James H. Stock, 1987. "Forecasting and Interpolation Using Vector Autoregressions with Common Trends," Annals of Economics and Statistics, GENES, issue 6-7, pages 279-287.
    6. repec:adr:anecst:y:1987:i:6-7:p:12 is not listed on IDEAS
    7. repec:adr:anecst:y:1987:i:6-7 is not listed on IDEAS
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