Estimation error and the specification of unobserved component models

DOI10.1016/S0304-4076(98)00094-3zbMath0951.62079MaRDI QIDQ1806697

Christophe Planas, Agustin Maravall

Publication date: 4 January 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

identificationARIMA modelsseasonal adjustmentsignal extractionestimation errorunobserved component models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment ⋮ Predictability, real time estimation, and the formulation of unobserved components models

Cites Work

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• Some efficient computational procedures for high order ARMA models
• Uncertainty in Model-Based Seasonal Adjustment Procedures and Construction of Minimax Filters
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Some consideration of decomposition of a time series
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Revisions in ARIMA Signal Extraction

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