Signal Extraction: How (In)efficient Are Model-Based Approaches? An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA
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References listed on IDEAS
- Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, March.
- Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, January.
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KeywordsSignalextraction; Concurrent filter; Unit root; Amplitude and time delay;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ECM-2006-01-24 (Econometrics)
- NEP-FOR-2006-01-24 (Forecasting)
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