On Structural Time Series Models and the Characterization of Components
Bibliographic Data
| ID | 19418092 |
|---|---|
| Authors | Agustín Maravall (Servicio de Estudios, Banco de España), Agustı́n Maravall (Bank of Spain, corresponding author) |
| Year | 1985 |
| Volume | 3 |
| Issue | 4 |
| Pages | 350-355 |
| Publication date | 1985-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1985.10509468 |
| OpenAlex | W1979280860 |
| Language | EN |
| Citations received | 6 |
| References cited | 9 |
This article analyzes certain properties of a class of recently proposed structural time series models in which particular structures are imposed upon the unobserved components of an observed time series. It is shown how the overall model can be expected to fit series, such as those for which the X-11 or Airline models are appropriate. As for the components, identification of the model is achieved by assigning a certain amount of white noise variation to the trend and seasonal components. It is shown that the structural approach can be modified to avoid trend and seasonal components contaminated by noise. KEY WORDS: Seasonal adjustmentX-11ARIMA modelsAirline modelUnobserved componentsCanonical decomposition
Econometrics · Statistics · Time series · Computer Science · Forecasting Techniques and Applications · Materials Science · Mathematics · Stock Market Forecasting Methods · Time Series Analysis and Forecasting · Geology
Seasonal Extraction in the Presence of Feedback
Recursive Estimation in Econometrics
Estimation of Autocorrelations of Survey Errors With Application to Trend Estimation in Small Areas
Estimation and Seasonal Adjustment of Population Means Using Data From Repeated Surveys
Seasonal Adjustment Using Structural Time Series Models
The Modeling and Seasonal Adjustment of Weekly Observations
| Unique citing works | 6 |
|---|---|
| Citations per year | 0,15 |
| Citation span | 1987 - 2002 (16) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 5 |