Stochastic linear trends. Models and estimators

DOI10.1016/0304-4076(93)90099-QzbMath0800.62801OpenAlexW1541591774MaRDI QIDQ685909

Augustıń Maravall

Publication date: 17 October 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90099-q

Mathematics Subject Classification ID

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

Related Items (17)

Seasonality in COVID-19 times ⋮ Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Forecasting trends with asset prices ⋮ Testing for deterministic seasonality in mixed-frequency VARs ⋮ On the effect of seasonal adjustment on the log-periodogram regression ⋮ Temporal and contemporaneous disaggregation of multiple economic time series ⋮ New algorithms for dating the business cycle ⋮ A spectral EM algorithm for dynamic factor models ⋮ FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES ⋮ Recursive and en-bloc approaches to signal extraction ⋮ The beveridge-nelson decomposition: Properties and extensions ⋮ Time series modeling and decomposition ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Linear dynamic harmonic regression ⋮ Trend estimation of financial time series ⋮ Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea ⋮ Business cycle durations

Cites Work

• Seasonal Adjustment by Signal Extraction
• Signal extraction from nonstationary time series
• On the dynamic structure of a seasonal component
• A note on minimum mean squared error estimation of signals with unit roots
• Data revisions with moving average seasonal adjustment procedures
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
• Some consideration of decomposition of a time series
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Time Series Regression with a Unit Root
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