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Stochastic linear trends : Models and estimators

Citations

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Cited by:

  1. Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
  2. Bujosa, Marcos & Garcia-Ferrer, Antonio & Young, Peter C., 2007. "Linear dynamic harmonic regression," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 999-1024, October.
  3. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
  4. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España.
  5. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016. "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 347-373, February.
  6. del Barrio Castro, Tomás & Hecq, Alain, 2016. "Testing for deterministic seasonality in mixed-frequency VARs," Economics Letters, Elsevier, vol. 149(C), pages 20-24.
  7. Chiara Peroni, 2012. "Testing linearity in term structures," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 651-666, April.
  8. Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
  10. Raghavan, Mala & Athanasopoulos, George, 2019. "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Economic Modelling, Elsevier, vol. 77(C), pages 187-203.
  11. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
  12. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
  13. Javier Gardeazabal & María Carmen Iglesias, "undated". "oCausan los ciclos del G7 el ciclo español?," Studies on the Spanish Economy 22, FEDEA.
  14. Ooms, M. & Hassler, U., 1996. "A Note on the Effect of Seasonal Dummies on the Periodogram Regression," Econometric Institute Research Papers EI 9629-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Yasser Abdih & Charalambos Tsangarides, 2010. "FEER for the CFA franc," Applied Economics, Taylor & Francis Journals, vol. 42(16), pages 2009-2029.
  16. Ángel Cuevas & Enrique Quilis, 2012. "A factor analysis for the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(3), pages 311-338, September.
  17. Vinod, H. D. & Basu, Parantap, 1995. "Forecasting consumption, income and real interest rates from alternative state space models," International Journal of Forecasting, Elsevier, vol. 11(2), pages 217-231, June.
  18. Víctor M. Guerrero & Adriana Galicia‐Vázquez, 2010. "Trend estimation of financial time series," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 205-223, May.
  19. Bógalo, Juan & Llada, Martín & Poncela, Pilar & Senra, Eva, 2022. "Seasonality in COVID-19 times," Economics Letters, Elsevier, vol. 211(C).
  20. Guerrero Víctor M. & García Andrea C. & Sainz Esperanza, 2013. "Rapid Estimates of Mexico’s Quarterly GDP," Journal of Official Statistics, Sciendo, vol. 29(3), pages 397-423, June.
  21. Ooms, Marius & Hassler, Uwe, 1997. "On the effect of seasonal adjustment on the log-periodogram regression," Economics Letters, Elsevier, vol. 56(2), pages 135-141, October.
  22. Webel, Karsten, 2016. "A data-driven selection of an appropriate seasonal adjustment approach," Discussion Papers 07/2016, Deutsche Bundesbank.
  23. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
  24. Enrique M. Quilis(1), "undated". "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.
  25. Ms. Susana Garcia Cervero & J. Humberto Lopez & Mr. Enrique Alberola Ila & Mr. Angel J. Ubide, 1999. "Global Equilibrium Exchange Rates: Euro, Dollar, “Ins,” “Outs,” and Other Major Currencies in a Panel Cointegration Framework," IMF Working Papers 1999/175, International Monetary Fund.
  26. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
  27. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
  28. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.
  29. Dufour, Jean-Marie & Jouini, Tarek, 2014. "Asymptotic distributions for quasi-efficient estimators in echelon VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 69-86.
  30. Tomas Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2015. "An analysis of the trade balance for OECD countries using periodic integration and cointegration," Empirical Economics, Springer, vol. 49(2), pages 389-402, September.
  31. repec:ehl:lserod:56407 is not listed on IDEAS
  32. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
  33. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Ciclical patterns of the spanish economy," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 445-473, September.
  34. International Monetary Fund, 2002. "Lithuania: History and Future of the Currency Board Arrangement," IMF Working Papers 2002/127, International Monetary Fund.
  35. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May-June.
  36. Victor M. Guerrero, 2008. "Estimating Trends with Percentage of Smoothness Chosen by the User," International Statistical Review, International Statistical Institute, vol. 76(2), pages 187-202, August.
  37. Tomás Barrio & Mariam Camarero & Cecilio Tamarit, 2019. "Testing for Periodic Integration with a Changing Mean," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 45-75, June.
  38. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2009. "VARMA models for Malaysian Monetary Policy Analysis," Monash Econometrics and Business Statistics Working Papers 6/09, Monash University, Department of Econometrics and Business Statistics.
  39. Michael Pedersen, 2016. "Propagation of inflationary shocks in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(3), pages 004-025, December.
  40. Quilis, Enrique M., 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS ws114130, Universidad Carlos III de Madrid. Departamento de Estadística.
  41. Gerba, Eddie, 2015. "Have the US macro-financial linkages changed? The balance sheet dimension," LSE Research Online Documents on Economics 59886, London School of Economics and Political Science, LSE Library.
  42. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," Economics Discussion Paper Series 0612, Economics, The University of Manchester.
  43. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
  44. Michael Pedersen, 2010. "Propagation of Inflationary Shocks in Chile and an International Comparison of Progagation of Shocks to food and Energy Prices," Working Papers Central Bank of Chile 566, Central Bank of Chile.
  45. Peter Young, 1999. "Recursive and en-bloc approaches to signal extraction," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 103-128.
  46. Víctor Guerrero & Fabio Nieto, 1999. "Temporal and contemporaneous disaggregation of multiple economic time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 459-489, December.
  47. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
  48. Marcos Bujosa & Antonio García Ferrer & Peter Young, 2002. "An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: New Algorithms and Examples," Documentos de Trabajo del ICAE 0204, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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