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Matrix formulars for nonstationary ARIMA signal extraction
McElroy, Tucker - In: Econometric theory 24 (2008) 4, pp. 988-1009
Persistent link: https://www.econbiz.de/10003736844
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When are direct multi-step and iterative forecasts identical?
McElroy, Tucker - In: Journal of forecasting 34 (2015) 4, pp. 315-336
Persistent link: https://www.econbiz.de/10011305168
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Optimal signal extraction with correlated components
McElroy, Tucker; Maravall Herrero, Agustín - In: Journal of time series econometrics 6 (2014) 2, pp. 237-273
Persistent link: https://www.econbiz.de/10010401113
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Finite sample revision variances for ARIMA model-based signal extraction
McElroy, Tucker (contributor); Gagnon, Richard (contributor) - European Commission / Statistical Office of the … - 2006 - 2006 edition
Persistent link: https://www.econbiz.de/10015315607