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orthogonal parametrization 2 Bartlett correction factors 1 Gaussian process 1 Hodrick-Prescott filter 1 adaptive estimation 1 information matrix 1 initial-value parametrization 1 likelihood ratio statistics 1 maximum likelihood estimator 1 noise-to-signal ratio 1 structural normal model 1
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Arellano-Valle, R. 1 Bolfarine, H. 1 Dermoune, Azzouz 1 Djehiche, Boualem 1 Rahmania, Nadji 1
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Annals of the Institute of Statistical Mathematics 1 Studies in Nonlinear Dynamics & Econometrics 1
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RePEc 2
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Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
Dermoune, Azzouz; Djehiche, Boualem; Rahmania, Nadji - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1656-1656
the unique minimizer of this criterion, when we use an orthogonal parametrization of the trend, whereas it is not the case … an orthogonal parametrization of the trend. …
Persistent link: https://www.econbiz.de/10005046474
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A note on the simple structural regression model
Arellano-Valle, R.; Bolfarine, H. - In: Annals of the Institute of Statistical Mathematics 48 (1996) 1, pp. 111-125
Persistent link: https://www.econbiz.de/10005760172
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