- NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
Gabriele Fiorentini () and
Additional contact information
Christophe Planas: EUROSTAT
Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
We deal with the problem of decomposing a time series into the sum of unobserved components as in detrending or seasonal adjustment. In particular, we analyze the situation in which the decomposition into orthogonal balanced components as performed by the ARIMA-Model-Based method is non-admissible. We show that considering top-heavy models for the components can help to solve the problem. The top-heavy decomposition is derived and the improvement achieved is illustrated by an application to a class of models often encountered in practice. Also, applying this procedure to a particular time series allows us to draw a comparison with the results yielded by the AMB decomposition of an approximated model, by using an ad-hoc filter such as X11-ARIMA, and by direct specification of the Structural Time Series models.
Keywords: signal extraction; unobserved components ARIMA; structural time series (search for similar items in EconPapers)
Pages: 44 pages
References: Add references at CitEc
Citations: Track citations by RSS feed
Published by Ivie
Downloads: (external link)
http://www.ivie.es/downloads/docs/wpasad/wpasad-1998-10.pdf Fisrt version / Primera version, 1998 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:1998-10
Access Statistics for this paper
More papers in Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Contact information at EDIRC.
Bibliographic data for series maintained by Departamento de Edición ().