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A systems approach to recursive economic forecasting and seasonal adjustment

  • Peter Young
  • Cho Ng
  • Peter Armitage
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    The paper discusses a new, fully recursive approach to the adaptive modeling, forecasting and seasonal adjustment of nonstationary economic time-series. The procedure is based around a time variable parameter (TVP) version of the well known “component” or “structural” model. It employs a novel method of sequential spectral decomposition (SSD), based on recursive state-space smoothing, to decompose the series into a number of quasi-orthogonal components. This SSD procedure can be considered as a complete approach to the problem of model identification and estimation, or it can be used as a first step in maximum likelihood estimation. Finally, the paper illustrates the overall adaptive approach by considering a practical example of a UK unemployment series which exhibits marked nonstationarity caused by various economic factors.

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    Paper provided by Federal Reserve Bank of Minneapolis in its series Discussion Paper / Institute for Empirical Macroeconomics with number 8.

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    Date of creation: 1989
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    Handle: RePEc:fip:fedmem:8
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    1. 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.
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