Signal extraction and the formulation of unobserved components models
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Publication:4762174
DOI10.1111/1368-423X.00040zbMath1018.62076OpenAlexW1976725905MaRDI QIDQ4762174
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Publication date: 8 September 2003
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00040
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (11)
Semiparametric Bayesian inference in smooth coefficient models ⋮ Trend–Cycle Decompositions with Correlated Components ⋮ The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics ⋮ Quantiles, expectiles and splines ⋮ Smoothing Time Series with Local Polynomial Regression on Time ⋮ Computing observation weights for signal extraction and filtering ⋮ On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series ⋮ A martingale decomposition of discrete Markov chains ⋮ A flexible approach to parametric inference in nonlinear and time varying time series models ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Predictability, real time estimation, and the formulation of unobserved components models
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