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Modelling structural change using the Kalman filter

Hall, Stephen G. - 1992

Persistent link: https://www.econbiz.de/10000137101

Linear filters : a survey

Pollock, David Stephen G. - 1994

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A friendly guide to wavelets

Kaiser, Gerald - 1994

Persistent link: https://www.econbiz.de/10000424575

The validity of trend-cycle decomposition using unobserved component model : Monte Carlo evidence

Fukuda, Kosei - In: Applied economics letters 15 (2008) 4/6, pp. 367-369

Persistent link: https://www.econbiz.de/10003727356

Bayesian near-boundary analysis in basic macroeconomic time series models

Pooter, Michiel de; Ravazzolo, Francesco; Segers, Rene; … - 2008

Persistent link: https://www.econbiz.de/10003754318

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics

Oh, Kum Hwa; Zivot, Eric; Creal, Drew - In: Journal of econometrics 146 (2008) 2, pp. 207-219

Persistent link: https://www.econbiz.de/10003782911

A view of damped trend as incorporating a tracking signal into a state space model

Snyder, Ralph D. (contributor); Koehler, Anne B. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003778339

Dynamic factor models with time-varying parameters : measuring changes in international business cycles

Del Negro, Marco (contributor); … - 2008

We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of...

Persistent link: https://www.econbiz.de/10003781510

Calculating the optimal hedge ratio : constant, time varying and the Kalman Filter approach

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied economics letters 13 (2006) 5, pp. 293-299

Persistent link: https://www.econbiz.de/10003320433

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - In: Econometric reviews 25 (2006) 2/3, pp. 219-244

Persistent link: https://www.econbiz.de/10003355740