Findley, David F.; Lytras, Demetra P.; Maravall … - In: SERIEs - Journal of the Spanish Economic Association 7 (2016) 1, pp. 11-52
Our starting place is the first order seasonal autoregressive model. Its series are shown to have canonical model-based decompositions whose finite-sample estimates, filters, and error covariances have simple revealing formulas from basic linear regression.We obtain analogous formulas for...
