Time series models are presented for which the seasonal component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Cencus X-11 program. Earlier work is extended by consideration of a broader class of models and by...

The state-space method is applied to the problem of separating an autoregressive (AR) signal from composite AR and white normal noise. In the stationary case, for which the Wiener filter exists, we show explicitly its equavalence to the steady-state Kalman filter. Existing results for...

This paper is a complete revision and considerable extension of "signal extraction in nonstationary series", Warwick Economic Research Paper No. 234, August 1983. Early versions of parts of the work were presented at European meetings of the Econometric Society, Pisa, 1983 and Madrid, 1984. This...

Procedures for the season adjustment of economic time series have typically been evaluated by studying their effects on a sample of actual time series. Recent proposals for amendments and extensions to existing methods have also been evaluated in the same way. Perhaps this approach is thought to...

Dynamic models of the relations between economic variables often rest on theories about how unobservable expectations are formed. In this paper the "adaptive expectations" and "rational expectations" hypotheses are compared and contrasted. The main distinctions concern the size of information...

Most macroeconometric models are built with the objective, wholly or partly, of providing forecasts. The term "forecast" covers three rather distinct types of exercise : (a) genuine "ex-ante" forecasts, in which the model user predicts the actual future development of the economy, and for which...