Title:Unobserved Components in Arch Models: An Application to Seasonal Adjustment
Author(s):FIORENTINI, Gabriele; MARAVALL, AgustinDate:1996Type of Publication:ArticleAbstract:The paper deals with unobserved components in ARIMA models with GARCH errors, in the context of an actual application, namely seasonal adjustment of the monthly Spanish money supply series. The series shows clear evidence ...
Title:Use and Misuse of Unobserved Components in Economic-Forecasting
Author(s):MARAVALL, AgustinDate:1994Type of Publication:ArticleAbstract:The paper deals with unobserved components in economic time series within a general model-based approach. The component, its final estimator, and the preliminary one (which also includes the forecast) are seen to follow ...
Title:Encompassing Univariate Models in Multivariate Time-Series - A Case-Study
Author(s):MARAVALL, Agustin; MATHIS, AlexandreDate:1994Type of Publication:ArticleAbstract:Through the encompassing principle, univariate ARIMA analysis could provide an important tool for diagnosis of VAR models: The univariate ARIMA models implied by the VAR should explain the results from univariate analysis. ...
Title:Estimation, Prediction, and Interpolation For Nonstationary Series with the Kalman Filter
Author(s):GOMEZ, Victor; MARAVALL, AgustinDate:1994Type of Publication:ArticleAbstract:We show how our definition of the likelihood of an autoregressive integrated moving average (ARIMA) model with missing observations, alternative to that of Kohn and Ansley and based on the usual assumptions made in estimation ...
Title:Stochastic Linear Trends - Models and Estimators
Author(s):MARAVALL, AgustinDate:1993Type of Publication:ArticleAbstract:The paper considers stochastic linear trends in series with a higher than annual frequency of observation. Using an approach based on ARIMA models, some of the trend models for the model interpretation of trend estimation ...