A general structural model for decomposing time series and its analysis as a generalized regression model

DOI10.1007/BF02924330zbMath0689.62089OpenAlexW1984246912MaRDI QIDQ3031815

Ralf Pauly

Publication date: 1989

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02924330

zbMATH Keywords

trendseasoncyclelikelihood ratio testKalman filtermaximum likelihood estimatorsgeneralized regression modeldecomposing economic time seriesgeneral structural model

Mathematics Subject Classification ID

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

Cites Work

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• Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
• Modeling Time Series With Calendar Variation
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• Some Recent Developments in Time Series Analysis. III, Correspondent Paper
• A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived from this Principle
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling

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