Signal Extraction Efficient Estimation, ‘Unit Root'-Tests and Early Detection of Turning Points /

• Main Author: Wildi, Marc (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Series: Lecture Notes in Economics and Mathematical Systems, 547
• Subjects: Statistics.; Economic theory.; Econometrics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Economic Theory/Quantitative Economics/Mathematical Methods.

The material contained in this book originated in interrogations about modern practice in time series analysis. • Why do we use models optimized with respect to one-step ahead foreca- ing performances for applications involving multi-step ahead forecasts? • Why do we infer 'long-term' prop...

Table of Contents:

• Theory
• Model-Based Approaches
• QMP-ZPC Filters
• The Periodogram
• Direct Filter Approach (DFA)
• Finite Sample Problems and Regularity
• Empirical Results
• Empirical Comparisons : Mean Square Performance
• Empirical Comparisons : Turning Point Detection
• Conclusion.