Predictability, real time estimation, and the formulation of unobserved components models

DOI10.1080/07474938.2020.1793508zbMath1490.62266OpenAlexW3043987529MaRDI QIDQ5862414

Tommaso Proietti

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1793508

zbMATH Keywords

ARMA modelsnonfundamentalnesscorrelated componentssteady state Kalman filter

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)

Uses Software

• expsmooth

Cites Work

• On leverage in a stochastic volatility model
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• Stochastic processes and filtering theory
• Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
• Signal extraction and the formulation of unobserved components models
• Trend–Cycle Decompositions with Correlated Components
• OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
• Prediction theory for autoregressivemoving average processes
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