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Estimation Error and the Specification of Unobserved Component Models

  • Agustín Maravall
  • Cristophe Planas

The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and covariances of the different types of estimation errors (errors in the final, preliminary, and concurrent estimator and in the forecast) are obtained for any admissible decomposition.

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Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9608.

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Length: 44 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bde:wpaper:9608
Contact details of provider: Web page: http://www.bde.es/
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  1. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
  2. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers 9609, Banco de Espa�a.
  3. Hillmer, Steven C, 1985. "Measures of Variability for Model-based Seasonal Adjustment Procedures," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 60-68, January.
  4. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.
  5. Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, vol. 14(1), pages 95-114, September.
  6. George E. P. Box & Steven Hilimer & George C. Tiao, 1978. "Analysis and Modeling of Seasonal Time Series," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 309-344 National Bureau of Economic Research, Inc.
  7. Robert F. Engle, 1979. "Estimating Structural Models of Seasonality," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 281-308 National Bureau of Economic Research, Inc.
  8. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer.
  9. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
  10. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
  11. Burridge, Peter & Wallis, Kenneth F, 1984. "Calculating the Variance of Seasonally Adjusted Series," The Warwick Economics Research Paper Series (TWERPS) 251, University of Warwick, Department of Economics.
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