Uncertainty in Model-Based Seasonal Adjustment Procedures and Construction of Minimax Filters

DOI10.2307/2289441zbMath0629.62095OpenAlexW4242588435MaRDI QIDQ3766677

Mark W. Watson

Publication date: 1987

Full work available at URL: https://doi.org/10.2307/2289441

zbMATH Keywords

linear filterssignal extractionminimax estimatesseasonal adjustment filtersEmpirical resultsBounds on the mean squared errorminimax and minimum extraction filtersmodel-based seasonal adjustment proceduresobservationally equivalent modelsrobust seasonal adjustment filtersUnobserved component autoregressive integrated moving average models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Minimax procedures in statistical decision theory (62C20) Economic time series analysis (91B84)

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Estimation error and the specification of unobserved component models ⋮ IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS

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