Signal extraction and the formulation of unobserved components models

By Andrew S. Harvey, S. J. Koopman. 2000

123 citations recorded by the source corpus.

Subfields: Applied Mathematics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/77b1e034575a2fce04273c6a83dd22fac5dd4f53

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

In Management Science and Operations Research

In Statistics and Probability

Citations in the corpus

EXPONENTIAL SMOOTHING: THE STATE OF THE ART, PART II (2006, unknown): “For additional discussion of the theoretical relationships amongst these models, see Harvey and Koopman (2000) and Ord, Snyder, Koehler, Hyndman, and Leeds (2005).”
It's time to move from 'what' to 'why' (2001, background): “Furthermore, SES forecasts are now known to be optimal for a much larger class of models than previously recognized (see Harvey, Ruiz & Sentana, 1992; Harvey & Koopman, 2000; Chatfield, Koehler, Ord & Snyder, 2001).”
Reconsidering the evidence: are Eurozone business cycles converging? (2004, methodology): “Furthermore, the parametric methods, like the nonparametric ones, are 'simply' taking weighted averages of the data; see Harvey & Koopman (2000) .”
THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION (2010, background): “Printed in the United States of America. doi:10.1017/S1365100510000118”
Quantiles, expectiles and splines (2009, background): “Harvey and Koopman (2000) highlight the stochastic trend connection.”
Trend–Cycle Decompositions with Correlated Components (2006, background): “Derivation and discussion of the weighting patterns for filtering and smoothing is presented in Harvey and Koopman (2000).”
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003, background): “Harvey and Koopman (2000) show that zero covariance implies symmetry in the weights of the smoother, a property they argue has inherent appeal.”
The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics (2008, methodology): “Watson (1986), Harvey and Koopman (2000), and Morley (2007), emphasized the components τ t|t and c t|t in the SSOE model are estimated with zero mean squared error because they are an exact function of past observations.”