Non-Admissible Decompositions in Unobserved Components Models
Gabriele Fiorentini () and
Christophe Planas ()
Working Papers from Centro de Estudios Monetarios Y Financieros-
This article deals with the problem of decomposing a time series into a sum of unobserved components as in seasonal adjustment or in trend-cycle decompositions. In particular, we analyze the case where model-based decompositions as performed by the so-called Structural Time Series models and by ARIMA-model-based cannot be drawn without yielding some components spectra with negative values.
Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 32 pages
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Working Paper: Non-Admissible Decompositions in Unobserved Components Models (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:cemfdt:9613
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