A local spectral approach for assessing time series model misspecification
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- Wildi Marc & McElroy Tucker, 2016. "Optimal Real-Time Filters for Linear Prediction Problems," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 155-192, July.
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Keywords
62F05 62F03 62M10 Cycle estimation Goodness-of-fit Peak detection Seasonal adjustment Spectral density Unobserved components;JEL classification:
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