Non-Admissible Decompositions in Unobserved Components Models

This article deals with the problem of decomposing a time series into a sum of unobserved components as in seasonal adjustment or in trend-cycle decompositions. In particular, we analyze the case where model-based decompositions as performed by the so-called Structural Time Series models and by ARIMA-model-based cannot be drawn without yielding some components spectra with negative values.

MoreLess

Year of publication:	1996
Authors:	Fiorentini, G ; Planas, C
Institutions:	Centro de Estudios Monetarios y Financieros (CEMFI)
Subject:	STATISTICS

More details

Series:	Centro de Estudios Monetarios Y Financieros-.
Type of publication:	Book / Working Paper
Notes:	32 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625758