Predictability, real time estimation, and the formulation of unobserved components models
Year of publication: |
2021
|
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Authors: | Proietti, Tommaso |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 40.2021, 5, p. 433-454
|
Subject: | ARMA models | correlated components | nonfundamentalness | Steady State Kalman filter | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Prognoseverfahren | Forecasting model |
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