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Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-1-4419-0320-4_11openalex-extracted
Multivariate Time Series
inferredcites →https://doi.org/10.1007/978-1-4612-1162-4openalex-extracted
Asymptotic Theory of Statistical Inference for Time Series
inferredcites →https://doi.org/10.1007/978-3-540-27752-1openalex-extracted
New Introduction to Multiple Time Series Analysis
inferredcites →https://doi.org/10.1016/0165-1889(88)90041-3openalex-extracted
Statistical analysis of cointegration vectors
inferredcites →https://doi.org/10.1016/j.csda.2005.07.008openalex-extracted
An iterated parametric approach to nonstationary signal extraction
inferredcites →https://doi.org/10.1016/j.ijforecast.2009.02.003openalex-extracted
Stochastic level shifts and outliers and the dynamics of oil price movements
inferredcites →https://doi.org/10.1016/s0165-1889(02)00061-1openalex-extracted
Computing observation weights for signal extraction and filtering
inferredcites →https://doi.org/10.1017/cbo9780511617010.013openalex-extracted
On RegComponent time series models and their applications
inferredcites →https://doi.org/10.1017/s0266466600162024openalex-extracted
TESTS OF COMMON STOCHASTIC TRENDS
inferredcites →https://doi.org/10.1017/s0266466608080389openalex-extracted
MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
inferredcites →https://doi.org/10.1080/01621459.1988.10478707openalex-extracted
Testing for Common Trends
inferredcites →https://doi.org/10.1111/1368-423x.00023openalex-extracted
Statistical algorithms for models in state space using SsfPack 2.2
inferredcites →https://doi.org/10.1111/j.1467-9892.1991.tb00084.xopenalex-extracted
INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
inferredcites →https://doi.org/10.1111/j.1467-9892.2006.00514.xopenalex-extracted
Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure
inferredcites →https://doi.org/10.1111/j.1538-4616.2007.00014.xopenalex-extracted
Why Has U.S. Inflation Become Harder to Forecast?
inferredcites →https://doi.org/10.1162/003465303765299774openalex-extracted
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
inferredcites →https://doi.org/10.1162/rest.90.4.805openalex-extracted
Measuring the NAIRU with Reduced Uncertainty: A Multiple-Indicator Common-Cycle Approach
inferredcites →https://doi.org/10.1198/073500105000000261openalex-extracted
Tracking the Business Cycle of the Euro Area
inferredcites →https://doi.org/10.1214/aos/1176346512openalex-extracted
Signal Extraction for Nonstationary Time Series
inferredcites →https://doi.org/10.1214/aos/1176349739openalex-extracted
Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions
inferredcites →https://doi.org/10.1257/aer.98.5.2101openalex-extracted
Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.1353/mcb.2002.0027openalex-extracted
A Simple Adaptive Measure of Core Inflation
inferredcites →https://doi.org/10.2307/1913236openalex-extracted
Co-Integration and Error Correction: Representation, Estimation, and Testing
inferredcites →https://doi.org/10.7551/mitpress/2946.001.0001openalex-extracted
Extrapolation, Interpolation, and Smoothing of Stationary Time Series
inferredcites →https://doi.org/10.1093/acprof:oso/9780199641178.001.0001openalex-snapshot
Time Series Analysis by State Space Methods
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1080/07474938.2014.977088openalex-snapshot
Multistep ahead forecasting of vector time series
inferred← citeshttps://doi.org/10.5705/ss.202014.0024openalex-snapshot
The Cepstral Model for Multivariate Time Series: The Vector Exponential Model
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