Signal extraction : efficient estimation, unit root-tests and early detection of turning points /
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Author / Creator: | Wildi, Marc. |
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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: | |
Format: | E-Resource Book |
URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/8874504 |
ISBN: | 3540229353 (pbk.) 9783540229353 (pbk.) 3540269169 (electronic bk.) 9783540269168 (electronic bk.) 9786610305131 6610305137 |
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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 |
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