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On some remarks about SEATS signal extraction

Mélard, Guy - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 53-98

regARIMA module of Census X-12-ARIMA or Bank of Spain TRAMO-SEATS. SEATS consists of extracting the components by an ARIMA … compatible with the ARIMA model for the corrected time series. The underlying theory of the SEATS program is studied in many … papers but there is no complete and systematic description of its output. Our purpose is to examine SEATS text output and to …

Persistent link: https://www.econbiz.de/10011458774

Stock Series Holiday Regressors Generated from Flow Series Holiday Regressors

Findley, David - 2013

Stock economic time series, such as end-of-month inventories, arise as the cumulative sum of monthly inflows and outflows over time, i.e., as accumulations of monthly net flows. In this article, we derive holiday regressors for stock series from cumulative sums of flow-series holiday regressors....

Persistent link: https://www.econbiz.de/10013088985

Penalized splines, mixed models and the Wiener-Kolmogorov filter

Bloechl, Andreas - 2014

Penalized splines are widespread tools for the estimation of trend and cycle, since they allow a data driven estimation of the penalization parameter by the incorporation into a linear mixed model. Based on the equivalence of penalized splines and the Hodrick-Prescott filter, this paper connects...

Persistent link: https://www.econbiz.de/10010439160

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Persistent link: https://www.econbiz.de/10011458802

Long Memory and Estimation of Memory Parameters : Nigerian and US Inflation Rates

Yaya, OlaOluwa S. - 2010

Most economic series have been analyzed on the assumption that they are integrated of order d that is I(d), where d is an integer. Such series exhibit a short memory process characterized with exponential decay in the autocorrelation function (ACF) sometimes with alternating signs after dth...

Persistent link: https://www.econbiz.de/10013139343

Analysing High Frequency Data Using ARCH and GARCH Methods

Krishnan, Rohit - 2010

High frequency data is a recent entrant to the world of statistics as they relate to the markets. With tick by tick data we get to see the microstructure of the markets and often are better able to see how they vary from the traditional portrayal. Traditional tools used to look at daily and...

Persistent link: https://www.econbiz.de/10013143284

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

Persistent link: https://www.econbiz.de/10010533201

To infinity and beyond : efficient computation of ARCH(\infty) models

Nielsen, Morten Ørregaard; Noël, Antoine - 2020

This paper provides an exact algorithm for efficient computation of the time series of conditional variances, and hence the likelihood function, of models that have an ARCH(∞) representation. This class of models includes, e.g., the fractionally integrated generalized autoregressive...

Persistent link: https://www.econbiz.de/10012183643

Estimating the smoothing parameter in the so-called Hodrick-Prescott filter

Schlicht, Ekkehart - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...

Persistent link: https://www.econbiz.de/10010440442

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

Persistent link: https://www.econbiz.de/10011303868