Predictability, real time estimation, and the formulation of unobserved components models
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DOI: 10.1080/07474938.2020.1793508
Abstract: Abstract The formulation of unobserved components models raises some relevant interpretative issues, owing to the existence of alternative observationally equivalent specifications, differing for the timing of the disturbances and their covariance matrix. We illustrate them… read more here.
Keywords: unobserved components; components models; formulation unobserved; real time ... See more keywords