| Description |
xi, 279 pages : illustrations ; 24 cm |
| Series |
Lecture notes in economics and mathematical systems, 0075-8442 ; 547 |
|
Lecture notes in economics and mathematical systems ; 547
|
| Contents |
Machine derived contents note: Theory: Introduction; Model-Based Approaches; QMP-ZPC Filters; The Periodogram; Direct Filter Approach (DFA); Finite Sample Problems and Regularity.- Empirical Results: Empirical Comparisons: Mean Square Performance; Empirical Comparisons: Turning Point Detection; Conclusion |
| Summary |
The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally. The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also. Unit roots are important properties of the input signal because they generate a set of constraints for the best extraction filter. Since traditional |
| Notes |
Formerly CIP. Uk |
| Bibliography |
Includes bibliographical references (pages [275]-279) |
| Subject |
Economic forecasting -- Mathematical models.
|
|
Economic forecasting.
|
| LC no. |
2004111007 |
| ISBN |
3540229353 (paperback) |
|
