Linear Combination of Information in Time Series Analysis

Victor M. Guerrero and Daniel Peña
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Victor M. Guerrero: Centro de Investigacion Economica (CIE), Instituto Tecnologico Autonomo de Mexico (ITAM)

No 9507, Working Papers from Centro de Investigacion Economica, ITAM

Abstract: An important tool in time series analysis is that of combining information in an optimal manner. Here we establish a basic combining rule of linear estimators and exemplify its use with several different problems faced by a time series analyst. A compatibility test statistic is also provided as a companion of the combining rule. This statistic plays a fundamental role for obtaining sensible results from the combination and for pointing out some possibly new directions of analysis.

Keywords: Compatibility testing; Disggregation; Intervention analysis; Missing data; Outliers; Restricted forecasts (search for similar items in EconPapers)
Pages: 22 pages
Date: 1995-09
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Working Paper: Linear combination of information in time series analysis (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:cie:wpaper:9507

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