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An ARMA representation of unobserved component models under generalized random walk specifications: new algorithms and examples

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Bujosa Brun, Marcos and García Ferrer, Antonio and Young, Peter C. (2002) An ARMA representation of unobserved component models under generalized random walk specifications: new algorithms and examples. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 04, 2002, ]

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Official URL: http://eprints.ucm.es/7654/


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Abstract

Among the alternative Unobserved Components formulations within the stochastic state space setting, the Dynamic Harmonic Regression (DHR) has proved particularly useful for adaptive seasonal adjustment
signal extraction, forecasting and back-casting of time series.
Here, we show first how to obtain ARMA representations for the Dynamic Harmonic Regression (DHR) components under several random walk specifications. Later, we uses these theoretical results to derive an alternative algorithm based on the frequency domain for the identification and estimation of DHR models. The main advantages of this algorithm are linearity, fast computing, avoidance of some numerical issues, and automatic identification of the DHR model. To compare
it with other alternatives, empirical applications are provided.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Dynamic Harmonic Regression (DHR), Forecasting and back-casting of time series
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2002
Number:04
ID Code:7654
Deposited On:04 Mar 2008
Last Modified:21 Jun 2017 11:19

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