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Estimating Structural Models of Seasonality

In: Seasonal Analysis of Economic Time Series

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  • Robert F. Engle

Abstract

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Suggested Citation

  • Robert F. Engle, 1978. "Estimating Structural Models of Seasonality," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 281-308, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:4328
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    References listed on IDEAS

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    1. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
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    Cited by:

    1. Paolo Guarda, 2002. "Potential output and the output gap in Luxembourg: some alternative methods," BCL working papers 4, Central Bank of Luxembourg.
    2. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
    3. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
    4. Catalin Angelo IOAN & Gina IOAN, 2013. "The Open Society, Institutions and Economic Performance," EuroEconomica, Danubius University of Galati, issue 2(32), pages 175-180, September.
    5. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    6. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
    7. Irma Hindrayanto & Jan Jacobs & Denise Osborn, 2014. "On trend-cycle-seasonal interactions," DNB Working Papers 417, Netherlands Central Bank, Research Department.
    8. repec:zbw:bofrdp:1998_006 is not listed on IDEAS
    9. Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
    10. Maria Jesus Herrerias and Eric Girardin, 2013. "Seasonal Patterns of Energy in China," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    11. Rasi, Chris-Marie & Viikari, Jan-Markus, 1998. "The time-varying NAIRU and potential output in Finland," Research Discussion Papers 6/1998, Bank of Finland.
    12. De Loo, Ivo, 1998. "Fables of Faubus?: Testing the Sectoral Shift Hypothesis in the Netherlands Using a Simplified Kalman Filter Model," Research Memorandum 002, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
    13. Thury, Gerhard & Witt, Stephen F., 1998. "Forecasting industrial production using structural time series models," Omega, Elsevier, vol. 26(6), pages 751-767, December.
    14. Ardeni, Pier Giorgio & Wright, Brian, 1990. "The long term behavior of commodity prices," Policy Research Working Paper Series 358, The World Bank.
    15. Ruiz Ortega, Esther & Lorenzo, Fernando, 1996. "Which univariate time series model predicts quicker a crisis? The Iberia case," DES - Working Papers. Statistics and Econometrics. WS 4545, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Wu, Yangru, 1995. "Are there rational bubbles in foreign exchange markets? Evidence from an alternative test," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 27-46, February.
    17. Girardin, Eric & Liu, Zhenya, 2005. "Bank credit and seasonal anomalies in China's stock markets," China Economic Review, Elsevier, vol. 16(4), pages 465-483.
    18. Souza, R. C. & Brasil, G. H., 1988. "Formulação estrutural - abordagens clássica e bayeseiana: semelhanças e dessemelhanças," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 8(1), June.
    19. Karapanagiotidis, Paul, 2014. "Dynamic State-Space Models," MPRA Paper 56807, University Library of Munich, Germany.
    20. Stock, James H. & Watson, Mark, 2008. "The Evolution of National and Regional Factors in U.S. Housing Construction," Scholarly Articles 28468706, Harvard University Department of Economics.

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