Estimation Error and the Specification of Unobserved Component Models

Agustin Maravall () and Cristophe Planas

Working Papers from Banco de España

Abstract: The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and covariances of the different types of estimation errors (errors in the final, preliminary, and concurrent estimator and in the forecast) are obtained for any admissible decomposition.

Keywords: EVALUATION; ECONOMETRICS; MODELS (search for similar items in EconPapers)
JEL-codes: C10 C13 C19 (search for similar items in EconPapers)
Pages: 44 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Estimation error and the specification of unobserved component models (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9608

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().