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Forecasting and Signals Extraction in Autoregressive-moving Average Models

Peter Burridge () and Kenneth Wallis ()

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: This paper is a complete revision and considerable extension of "signal extraction in nonstationary series", Warwick Economic Research Paper No. 234, August 1983. Early versions of parts of the work were presented at European meetings of the Econometric Society, Pisa, 1983 and Madrid, 1984. This research was supported by a grant from the Economic and Social Research Council.

Date: 1986
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https://warwick.ac.uk/fac/soc/economics/research/w ... 78-1988/twerp274.pdf

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Working Paper: FORECASTING AND SIGNAL EXTRACTION IN AUTOREGRESSIVE-MOVING AVERAGE MODELS (1986) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:274

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