Get Signal Extraction: Efficient Estimation, 'Unit Root'-Tests PDF

By Marc Wildi

ISBN-10: 3540229353

ISBN-13: 9783540229353

ISBN-10: 3540269169

ISBN-13: 9783540269168

The fabric contained during this e-book originated in interrogations approximately sleek perform in time sequence research. • Why will we use versions optimized with recognize to one-step forward foreca- ing performances for purposes concerning multi-step forward forecasts? • Why can we infer 'long-term' houses (unit-roots) of an unknown approach from information basically in keeping with non permanent one-step forward forecasting performances of specific time sequence versions? • can we notice turning-points of pattern parts previous to with conventional sign extraction approaches? The hyperlink among 'signal extraction' and the 1st questions above isn't fast first and foremost sight. sign extraction difficulties are frequently solved via su- ably designed symmetric filters. in the direction of the bounds (t = 1 or t = N) of a time sequence a selected symmetric clear out has to be approximated by way of asymm- ric filters. The time sequence literature proposes an intuitively undemanding answer for fixing this challenge: • Stretch the saw time sequence by means of forecasts generated by means of a version. • observe the symmetric filter out to the prolonged time sequence. This procedure is termed 'model-based'. evidently, the forecast-horizon grows with the size of the symmetric filter out. Model-identification and estimation of unknown parameters are then regarding the above first questions. One may perhaps extra ask, if this approximation challenge and how it really is solved by means of model-based ways are vital issues for functional reasons? contemplate a few 'prominent' estimation difficulties: • The decision of the seasonally adjusted real unemployment expense.

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Read or Download Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems) PDF

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Extra info for Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems)

Example text

In the structure of the model for the DGP of Xt. If the DGP is unknown, then models are generally misspecified. Inferences about the integration order of the process based on hypotheses of the type o^ = 0 or cr| = 0 are often difficult to assess and decisions based on one-step ahead forecasting performances may be misleading for multi-step ahead usage. Therefore, the signal estimates - especially boundary estimates - are generally inefficient because the signal estimation problem involves one- and multi-step ahead forecasts.

20)) are unknown a priori since they are derived (by partial fractions) from the ARIMAmodel for Xt which is unknown too (a priori). Therefore, it is generally impossible to account for 'a priori knowledge' about the components. Moreover, the components may be uninterpretable a posteriori. Grether, Nerlove and Carvalho [70] and Harvey [47] circumvent the identification and interpretation problems by specifying 'plausible' models (DGP's) for the components a priori. The MBA in the preceding two sections corresponded to a 'top-down' identification strategy for which the DGP of Xt is decomposed into uniquely defined components.

15) inherits the property of small(est) time shift from the minimum phase filter F(u>). 3). QMP filters are a general parsimonious filter class satisfying an optimality property (smallest time shift) which make them 'natural' candidates for boundary filter approximation problems. 3 presents a further and final restriction strengthening and improving the parsimony concept. An intuitive explanation of the minimum time shift property of minimum phase filters can be given in the time domain. 14).

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Signal Extraction: Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems) by Marc Wildi


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