Koopman, Siem Jan; Lee, Kai Ming - Tinbergen Institute - 2008
assumption of a linear model, often appropriate after a logarithmic transformation of the data, facilitates estimation, testing …, forecasting and interpretation. However, in some settings the linear-additive framework may be too restrictive. In this paper, we … formulate a non-linear unobserved components time series model which allows interactions between the trend-cycle component and …