A Note on Revisions in ARIMA-based Signal Extraction PDF Download

Author: Agustín Maravall
Publisher:
ISBN:
Category : Signal theory (Telecommunication).
Languages : en
Pages : 32

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Author: Marc Wildi
Publisher: Springer Science & Business Media
ISBN: 3540269169
Category : Business & Economics
Languages : en
Pages : 283

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The material contained in this book originated in interrogations about modern practice in time series analysis. • Why do we use models optimized with respect to one-step ahead foreca- ing performances for applications involving multi-step ahead forecasts? • Why do we infer 'long-term' properties (unit-roots) of an unknown process from statistics essentially based on short-term one-step ahead forecasting performances of particular time series models? • Are we able to detect turning-points of trend components earlier than with traditional signal extraction procedures? The link between 'signal extraction' and the first two questions above is not immediate at first sight. Signal extraction problems are often solved by su- ably designed symmetric filters. Towards the boundaries (t = 1 or t = N) of a time series a particular symmetric filter must be approximated by asymm- ric filters. The time series literature proposes an intuitively straightforward solution for solving this problem: • Stretch the observed time series by forecasts generated by a model. • Apply the symmetric filter to the extended time series. This approach is called 'model-based'. Obviously, the forecast-horizon grows with the length of the symmetric filter. Model-identification and estimation of unknown parameters are then related to the above first two questions. One may further ask, if this approximation problem and the way it is solved by model-based approaches are important topics for practical purposes? Consider some 'prominent' estimation problems: • The determination of the seasonally adjusted actual unemployment rate.

Author: Regina Kaiser
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 92

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El objetivo de este trabajo es proporcionar una introduccion informal a las herramientas del analisis de series temporales y a los conceptos necesarios para comprender la metodologia basica en la que se fundamenta la aplicacion de filtros. El trabajo esta dirigido a analistas en general que realicen trabajos aplicados en este campo, pero que no hayan cursado un modulo avanzado de analisis aplicado de series temporales. Se ha puesto especial enfasis en el metodo basado en modelos, aunque gran parte del material tambien puede aplicarse al uso de filtros 'ad-hoc'. La estructura basica consiste en modelizar la serie como un proceso estocastico lineal y estimar los componentes mediante la 'extraccion de una señal', es decir, mediante la estimacion optima de componentes generados por modelos estadisticos bien definidos.(am) (ad).

Author:
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 564

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Author: Agustín Maravall
Publisher:
ISBN:
Category : Box-Jenkins forecasting
Languages : en
Pages : 236

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Author: Joint Bank-Fund Library
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 720

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Author: Juan José Dolado
Publisher:
ISBN:
Category : Labor demand
Languages : en
Pages : 36

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Author: Agustín Maravall
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 72

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Author: Banco de México (1925- ). Oficina de Servicios Bibliotecarios
Publisher:
ISBN:
Category :
Languages : en
Pages : 124

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Author: American Statistical Association. Business and Economic Statistics Section
Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 580

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