Linear dynamic harmonic regression

Computational Statistics and Data Analysis

Volumn 52, Issue 2, 2007, Pages 999-1024

  Bujosa, Marcos ^a   García Ferrer, Antonio ^b   Young, Peter C ^c,d  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

^b UNIVERSIDAD AUTÓNOMA DE MADRID   (Spain)

^c LANCASTER UNIVERSITY   (United Kingdom)

^d AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Dynamic harmonic regression; Ordinary least squares; Spectral fitting; Unobserved component models

Indexed keywords

ALGORITHMS; HARMONIC ANALYSIS; MONTE CARLO METHODS; NUMERICAL METHODS; OPTIMIZATION; PARAMETER ESTIMATION; RANDOM PROCESSES; SIGNAL PROCESSING; STATE SPACE METHODS; TIME SERIES ANALYSIS;

DYNAMIC HARMONIC REGRESSION; ORDINARY LEAST SQUARES; SPECTRAL FITTING; UNOBSERVED COMPONENT MODELS;

REGRESSION ANALYSIS;

EID: 35148881187     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.07.008     Document Type: Article

References (29)

1. Akaike H. Seasonal adjustment by a Bayesian modelling. J. Time Ser. Anal. 1 1 (1980) 1-13
2. Bell W. Signal extraction for nonstationary time series. Ann. Statist. 12 2 (1984) 646-664
3. Box, G.E.P., Hillmer, S.C., Tiao, G.C., 1978. Analysis and modelling of seasonal time series. In: Zellner, A. (Ed.), Seasonal Analysis of Economic Time Series. U.S. Department of Commerce-Bureau of the Census, Washington, DC, pp. 309-334.
4. Bujosa, M., 2000. Contribuciones al método de regresión armónica dinámica: Desarrollos teóricos y nuevos algoritmos. Ph.D. Thesis, Dpto. de Análisis Económico, Economía Cuantitativa, Universidad Autónoma de Madrid.
5. Bujosa, A., Bujosa, M., García-Ferrer, A., 2002. A note on the pseudo-spectra and the pseudo-covariance generating functions of arma processes. Working Paper 0203, Instituto Complutense de Análisis Económico, Universidad Complutense de Madrid.
6. Burman J. Seasonal adjustment by signal extraction. J. Roy. Statist. Soc. Ser. A 143 (1980) 321-337
7. Casals J., Jerez M., and Sotoca S. Exact smoothing for stationary and non-stationary time series. Internat. J. Forecasting 16 1 (2000) 59-69
8. Casals J., Jerez M., and Sotoca S. An exact multivariate model-based structural decomposition. J. Amer. Statist. Assoc. 97 458 (2002) 553-564
9. García-Ferrer A., and Bujosa-Brun M. Forecasting OECD industrial turning points using unobserved components models with business survey data. Internat. J. Forecasting 16 2 (2000) 207-227
10. García-Ferrer A., del Hoyo J., and Martín-Arroyo A.S. Univariate forecasting comparisons: The case of the Spanish automobile industry. J. Forecasting 16 (1997) 1-17
11. García-Ferrer A., and Queralt R. Using long-, medium-, and short-term trends to forecast turning points in the business cycle: some international evidence. Studies Nonlinear Dynam. Econom. 3 2 (1998) 79-105
12. Gomez V., and Maravall A. New methods for quantitative analysis of short-term economic activity. In: Prat A. (Ed). Proceedings in Computational Statistics (1996), Physica, Heidelberg 65-76
13. Gomez, V., Maravall, A., 1996b. Programs TRAMO and SEATS, instructions for the user (beta version: September 1996). Working Paper 9628, Bank of Spain, Madrid.
14. Harvey A.C. Forecasting, Structural Time Series Models and the Kalman Filter (1989), Cambridge University Press, Cambridge
15. Hillmer S., and Tiao G. An ARIMA-model-based approach to seasonal adjustment. J. Amer. Statist. Assoc. 77 (1982) 63-70
16. Jakeman A., and Young P.C. Recursive filtering and the inversion of ill-posed causal problems. Util. Math. 35 (1984) 351-376
17. Koopmans S.J., Harvey A.C., Doornik J.A., and Shephard N. STAMP 5.0: Structural Time Series Analyser, Modeller and Predictor (1995), Chapman & Hall, London
18. Lawson C.L., and Hanson R.J. Solving Least Squares Problems (1974), Prentice-Hall, Englewood Cliffs, NJ
19. Maravall A. Stochastic linear trends. J. Econom. 56 (1993) 5-37
20. Maravall A. An application of the tramo-seats automatic procedure; direct versus indirect adjustment. Comput. Statist. Data Anal. 50 (2006) 2167-2190
21. Pollock D.S.G. Recursive estimation in econometrics. Comput. Statist. Data Anal. 44 (2003) 37-75
22. Pollock D.S.G. Econometric methods of signal extraction. Computat. Statist. Data Anal. 50 (2006) 2268-2292
23. West M., and Harrison J. Bayesian Forecasting and Dynamic Models (1989), Springer, New York
24. Young P.C. Comments on likelihood and cost as path integrals. J. Roy. Statist. Soc. Ser. B 53 (1991) 529-531
25. Young P.C. Time variable parameters and trend estimation in non-stationary economic time series. J. Forecasting 13 (1994) 179-210
26. Young P.C. Nonstationary time series analysis and forecasting. Progr. Environ. Sci. 1 (1999) 3-48
27. Young P.C., Ng C.N., and Armitage P. A systems approach to recursive economic forecasting and seasonal adjustment. Comput. Math. Appl. 18 (1988) 481-501
28. Young P.C., and Pedregal D. Recursive and en-bloc approaches to signal extraction. J. Appl. Statist. 26 1 (1999) 103-128
29. Young P.C., Pedregal D., and Tych W. Dynamic harmonic regression. J. Forecasting 18 (1999) 369-394