Results 271 to 280 of about 29,182 (301)

Unobserved Components in Univariate Series

2019
As mentioned in Gomez and Maravall (Seasonal adjustment and signal extraction in economic time series. In: Pena D, Tiao GC, Tsay RS (eds), A course in time series analysis, (chap 8). Wiley, New York, 2001), there exist at present two approaches to the problem of specifying a model in which several unobserved components that follow ARIMA models are ...
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Asymmetric cycles in unobserved components models [PDF]

Bulletin of Economic Research, 2003
A class of structural time series models with an asymmetric cyclical component is presented and used in order to test for asymmetry in economic time series. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past observations of the stochastic process being modelled.
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Unobserved components models with correlated disturbances

Statistical Methods and Applications, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Approximate state space modelling of unobserved fractional components

Econometric Reviews, 2022
Tobias Hartl, Roland Jucknewitz
exaly  

State Space and Unobserved Component Models

2004
This 2004 volume offers a broad overview of developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science ...
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Unobserved Components and Time Series Econometrics

2015
AbstractThis book is a tribute to Professor Andrew Harvey, who has been an active researcher for four decades, writing on many aspects of time series modeling with a particular focus on economic and more recently financial applications. As well as generating path breaking research articles, he has been unusually influential in writing research ...
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Prediction, Extraction, and Estimation in Unobserved Components Models

Econometric Theory, 1987
Francis X. Diebold, Marc Nerlove
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Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity

Studies in Nonlinear Dynamics and Econometrics, 2022
Mengheng Li, Ivan Mendieta-Munoz
exaly  

Unobserved-Components Models for Seasonal Adjustment Filters

Journal of Business and Economic Statistics, 1984
Peter Burridge, Kenneth F Wallis
exaly  

Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model

China Economic Review, 2020
Zehao Liu
exaly