A note on the extraction of components from time series

Pagan, AR

A note on the extraction of components from time series

Pagan, AR

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Publisher:: Wiley-Blackwell
Publication Type:: Journal Article
Citation:: Econometrica, 1975, 43 (1), pp. 163 - 168
Issue Date:: 1975-01

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Field	Value	Language
dc.contributor.author	Pagan, AR	en_US
dc.date.issued	1975-01	en_US
dc.identifier.citation	Econometrica, 1975, 43 (1), pp. 163 - 168	en_US
dc.identifier.issn	0012-9682	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13918
dc.description.abstract	THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the distinct advantage that a large corpus of filtering and estimation theory may then be brought to bear upon such models and has secondary benefits in the form of a greater lucidity of, and flexibility in, the exposition of the extraction problem. Further, by relating such models to a format that has widespread use in other fields, it is possible to exploit any future computational and theoretical advances therein.	en_US
dc.publisher	Wiley-Blackwell	en_US
dc.relation.ispartof	Econometrica	en_US
dc.relation.isbasedon	10.2307/1913421	en_US
dc.subject.classification	Econometrics	en_US
dc.title	A note on the extraction of components from time series	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	43	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	43	en_US

Abstract:

THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the distinct advantage that a large corpus of filtering and estimation theory may then be brought to bear upon such models and has secondary benefits in the form of a greater lucidity of, and flexibility in, the exposition of the extraction problem. Further, by relating such models to a format that has widespread use in other fields, it is possible to exploit any future computational and theoretical advances therein.

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http://hdl.handle.net/10453/13918