Signal extraction and the formulation of unobserved components models

Andrew C. Harvey and Siem Jan Koopman ()

No 44, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are three main themes. The first is the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The second is how setting up models with t-distributed disturbances leads to weighting patterns which are robust to outliers and breaks. The third is a comparison of implied weighting patterns with kernels used in nonparametric trend estimation and equivalent kernels used in spline smoothing. We also examine how weighting patterns are affected by heteroscedasticity and irregular spacing and provide an illustrative example.

JEL-codes: C15 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999
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Related works:
Journal Article: Signal extraction and the formulation of unobserved components models (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:199944

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