Missing Observations and Additive Outliers in Time Series Models
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References listed on IDEAS
- Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, pages 197-233.
- 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.).
- Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
- Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, pages 147-174.
- 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.
- Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, pages 95-114.
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- 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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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Acemoglu, Daron & Zilibotti, Fabrizio, 1997.
"Setting Standards: Information Accumulation in Development,"
CEPR Discussion Papers
1641, C.E.P.R. Discussion Papers.
- Pedro Delicado & Ana Justel, 1997. "Forecasting with missing data: Application to a real case," Economics Working Papers 213, Department of Economics and Business, Universitat Pompeu Fabra.
- Acemoglu, D. & Zilibotti, F., 1997. "Setting Standards: Information Accumulation in Development," Working papers 97-6, Massachusetts Institute of Technology (MIT), Department of Economics.
- Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, pages 341-363.
More about this item
KeywordsTIME SERIES; EVALUATION; ECONOMETRICS;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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