Signal extraction : efficient estimation, unit root-tests and early detection of turning points /

Signal extraction : efficient estimation, unit root-tests and early detection of turning points /

Saved in:
Bibliographic Details
Author / Creator:Wildi, Marc.
Imprint:Berlin ; New York : Springer, c2005.
Description:1 online resource (xi, 279 p.) : ill.
Language:English
Series:Lecture notes in economics and mathematical systems, 0075-8442 ; 547
Lecture notes in economics and mathematical systems ; 547.
Subject:
Economic forecasting -- Mathematical models.
Economic forecasting -- Mathematical models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/8874504
Hidden Bibliographic Details
ISBN:3540229353 (pbk.)
9783540229353 (pbk.)
3540269169 (electronic bk.)
9783540269168 (electronic bk.)
9786610305131
6610305137
Notes:Includes bibliographical references (p. [275]-279).
Summary:The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally. The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also. Unit roots are important properties of the input signal because they generate a set of constraints for the best extraction filter. Since traditional.
Other form:Print version: Wildi, Marc. Signal extraction. Berlin ; New York : Springer, c2005 3540229353

Similar Items

Similar Items