Computing Observation Weights for Signal Extraction and Filtering
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- Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
References listed on IDEAS
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"Statistical algorithms for models in state space using SsfPack 2.2,"
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- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
- Andrew Harvey & Siem Jan Koopman, 2000.
"Signal extraction and the formulation of unobserved components models,"
Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper 1999-44, Tilburg University, Center for Economic Research.
- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Other publications TiSEM 44688527-92c9-4c46-ac53-f, Tilburg University, School of Economics and Management.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
Oxford University Press,
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- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Andrew Harvey & Chia‐Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
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- Balke, Nathan S, 1993. "Detecting Level Shifts in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 81-92, January.
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