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Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter

Maravall Herrero, Agustín; Río Lopezosa, Ana del - 2007

Maravall and del Río (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as...

Persistent link: https://www.econbiz.de/10012530183

Optimal signal extraction with correlated components

McElroy, Tucker; Maravall Herrero, Agustín - In: Journal of time series econometrics 6 (2014) 2, pp. 237-273

Persistent link: https://www.econbiz.de/10010401113

Unobserved components in economic time series

Maravall Herrero, Agustín - 1993

Persistent link: https://www.econbiz.de/10000889047

Program SEATS "Signal Extraction in ARIMA Time Series" : instructions for the user

Maravall Herrero, Agustín; Gómez, Víctor - 1994

Persistent link: https://www.econbiz.de/10000898197

Missing observations and additive outliers in time series models

Maravall Herrero, Agustín; Peña, Daniel - 1992 - Rev

Persistent link: https://www.econbiz.de/10000860749

Short-term analysis of macroeconomic time series

Maravall Herrero, Agustín - 1993

Persistent link: https://www.econbiz.de/10000865226

Initializing the Kalman filter with incompletely specified initial conditions

Gómez, Víctor; Maravall Herrero, Agustín - 1993

Persistent link: https://www.econbiz.de/10000865466

Use and misuse of unobserved components in economic forecasting

Maravall Herrero, Agustín - 1993

Persistent link: https://www.econbiz.de/10000865572

Revision in ARIMA signal extraction

Maravall Herrero, Agustín - 1986

Persistent link: https://www.econbiz.de/10000842045

A prototypical seasonal adjustment model

Maravall Herrero, Agustín; Pierce, David A. - 1986

Persistent link: https://www.econbiz.de/10000842046

A service of the