Signal Extraction : Efficient Estimation, 'Unit Root'-Tests and Early Detection of Turning Points (Lecture Notes in Economics and Mathematical Systems)
Автор:Marc Wildi Год: 2004 Издание: [не указанo] Страниц: [не указано] ISBN: 3540229353 Book DescriptionThe book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally. The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it relies on one-step ahead forecasting performances (of a model) whereas the signal extraction problem implicitly requires good multi-step ahead forecasts also. Unit roots are important properties of theinput signal because they generate a set of constraints for the best extraction filter. Since traditional tests essentially rely on one-step ahead forecasting performances, new tests are presented here which implicitly account for multi-step ahead forecasting performances too. The gain in efficiency obtained by the new estimation method is analyzed in great detail, using simulated data as well as 'real world' time series.
