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pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Koopman, S J & Creal, D D 2010, ' Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter ', Journal of Applied Econometrics, vol. 25, pp. 695-719 . https://doi.org/10.1002/jae.1185
Journal of Applied Econometrics, 25, 695-719. John Wiley and Sons Ltd
Journal of Applied Econometrics, 25, 695-719. John Wiley and Sons Ltd
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time
Autor:
John A. D. Aston, Siem Jan Koopman
Publikováno v:
Journal of Forecasting, 25(5), 325-349. John Wiley and Sons Ltd
Aston, J & Koopman, S J 2006, ' A non-Gaussian generalisation of the Airline model for robust Seasonal Adjustment ', Journal of Forecasting, vol. 25, no. 5, pp. 325-349 . https://doi.org/10.1002/for.991
Aston, J & Koopman, S J 2006, ' A non-Gaussian generalisation of the Airline model for robust Seasonal Adjustment ', Journal of Forecasting, vol. 25, no. 5, pp. 325-349 . https://doi.org/10.1002/for.991
In their seminal book Time Series Analysis: Forecasting and Control, Box and Jenkins (1976) introduce the Airline model, which is still routinely used for the modelling of economic seasonal time series. The Airline model is for a differenced time ser