Forecasting and Signal Extraction with Misspecified Models
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- Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Blöchl, Andreas, 2014. "Penalized Splines as Frequency Selective Filters - Reducing the Excess Variability at the Margins," Discussion Papers in Economics 20687, University of Munich, Department of Economics.
- Proietti, Tommaso, 2008.
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6854, University Library of Munich, Germany.
- Tommaso Proietti, 2008. "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper 109, Tor Vergata University, CEIS, revised 10 Jul 2008.
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"Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter,"
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De Gruyter, vol. 235(6), pages 518-538, December.
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More about this item
KeywordsBusiness cycles; Unobserved components models; Cross- validation; Smoothing; Hodrick-Prescott filter; Multistep estimation.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-01-12 (All new papers)
- NEP-ECM-2004-01-25 (Econometrics)
- NEP-ETS-2004-01-12 (Econometric Time Series)
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