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A nonparametric method for asymmetrically extending signal extraction filters

McElroy, Tucker - In: Journal of Forecasting 30 (2011) 7, pp. 597-621

Two important problems in the X-11 seasonal adjustment methodology are the construction of standard errors and the handling of the boundaries. We adapt the ‘implied model approach’ of Kaiser and Maravall to achieve both objectives in a nonparametric fashion. The frequency response function...

Persistent link: https://www.econbiz.de/10010990721

Optimal real-time filters for linear prediction problems

Wildi, Marc; McElroy, Tucker - In: Journal of time series econometrics 8 (2016) 2, pp. 155-192

Persistent link: https://www.econbiz.de/10011582769

Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty : formulations and empirical evaluation

Blakely, Chris; McElroy, Tucker - In: Econometric reviews 36 (2017) 4, pp. 447-467

Persistent link: https://www.econbiz.de/10011795242

Multivariate seasonal adjustment, economic identities, and seasonal taxonomy

McElroy, Tucker - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 611-625

Persistent link: https://www.econbiz.de/10011893858

A nonlinear algorithm for seasonal adjustment in multiplicative component decompositions

McElroy, Tucker - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10009515137

Assessing residual seasonality in the U.S. national income and product account aggregates

Chen, Baoline; McElroy, Tucker; Pang, Osbert C. - 2021

Persistent link: https://www.econbiz.de/10012695131

Time series seasonal adjustment using regularized singular value decomposition

Lin, Wei; Huang, Jianhua Z.; McElroy, Tucker - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 487-501

Persistent link: https://www.econbiz.de/10012262489

Economic time series : modeling and seasonality

Bell, William R. (ed.); Holan, Scott H. (ed.); … - 2012

Persistent link: https://www.econbiz.de/10013547594