Carro, José Casals; Méndez, Miguel Jerez; López, … - Facultad de Ciencias Económicas y Empresariales, … - 2006
This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decomposing a time series into trend, cycle, seasonal...