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Unobserved components models with correlated disturbances
Statistical Methods and Applications, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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State Space and Unobserved Component Models
2004This 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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Approximate state space modelling of unobserved fractional components
Econometric Reviews, 2022Tobias Hartl, Roland Jucknewitz
exaly
Multivariate unobserved component model for an oil-exporting economy: the case of Russia
Applied Economics Letters, 2021Andrey Polbin
exaly
On the Efficiency of Unobserved Components Models
Jahrbücher für Nationalökonomie und Statistik, 2004openaire +1 more source
Prediction, Extraction, and Estimation in Unobserved Components Models
Econometric Theory, 1987Francis X. Diebold, Marc Nerlove
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Unobserved-Components Models for Seasonal Adjustment Filters
Journal of Business and Economic Statistics, 1984Peter Burridge, Kenneth F Wallis
exaly