Item description for Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems) by Marc Wildi...
The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally. The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also. Unit roots are important properties of the input signal because they generate a set of constraints for the best extraction filter. Since traditional tests essentially rely on one-step ahead forecasting performances, new tests are presented here which implicitly account for multi-step ahead forecasting performances too. The gain in efficiency obtained by the new estimation method is analyzed in great detail, using simulated data as well as 'real world' time series.
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Est. Packaging Dimensions: Length: 9.45" Width: 6.3" Height: 0.79" Weight: 0.99 lbs.
Release Date Nov 23, 2004
ISBN 3540229353 ISBN13 9783540229353
Availability 81 units. Availability accurate as of Oct 28, 2016 08:20.
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