ENGLISH

Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points

By Marc Wildi

Book information

Publisher
Springer
Year
2004
ISBN
9783540229353, 3540229353
Open Library ID
OL9054944M
Language
english
Format
DJVU
Filesize
2 MB (1678232 bytes)
Series
Lecture Notes in Economics and Mathematical Systems
Edition
1
Pages
283\283
Topic
Economy
Time added
2009-08-06 05:14:26

Description

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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