Non-Admissible Decompositions in Unobserved Components Models
This article deals with the problem of decomposing a time series into a sum of unobserved components as in seasonal adjustment or in trend-cycle decompositions. In particular, we analyze the case where model-based decompositions as performed by the so-called Structural Time Series models and by ARIMA-model-based cannot be drawn without yielding some components spectra with negative values.
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|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.|
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