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dc.contributor.author
Wildi, Marc
dc.contributor.author
Schips, Bernd
dc.date.accessioned
2018-03-07T15:34:45Z
dc.date.available
2017-06-12T17:33:46Z
dc.date.available
2018-03-07T15:34:45Z
dc.date.issued
2004-12
dc.identifier.uri
http://hdl.handle.net/20.500.11850/124515
dc.identifier.doi
10.3929/ethz-a-004957347
dc.description.abstract
Estimation of signals at the current boundary of time series is an important task in many practical applications. In order to apply the symmetric filter at current time, model-based approaches typically rely on forecasts generated from a time series model in order to extend (stretch) the time series into the future. In this paper we analyze performances of concurrent filters based on TRAMO and X-12-ARIMA for business survey data and compare the results to a new efficient estimation method which does not rely on forecasts. It is shown that both model-based procedures are subject to heavy model misspecification related to false unit root identification at frequency zero and at seasonal frequencies. Our results strongly suggest that the traditional modelbased approach should not be used for problems involving multi-step ahead forecasts such as e.g. the determination of concurrent filters.
en_US
dc.format
application/pdf
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Amplitude and time delay
en_US
dc.subject
Unit root
en_US
dc.subject
Signalextraction
en_US
dc.subject
Concurrent filter
en_US
dc.title
Signal Extraction: How (In)efficient Are Model-Based Approaches? An Empirical Study Based on TRAMO/SEATS and Census X-12-ARIMA
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
KOF Working Papers
ethz.journal.volume
96
en_US
ethz.size
26 p.
en_US
ethz.code.ddc
DDC - DDC::3 - Social sciences::330 - Economics
en_US
ethz.identifier.nebis
004957347
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.date.deposited
2017-06-12T17:33:55Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366a898a21367837
ethz.identifier.importid
imp593654ff5775560022
ethz.ecolpid
eth:27862
ethz.ecitpid
pub:187023
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-13T03:19:54Z
ethz.rosetta.lastUpdated
2020-02-15T11:40:55Z
ethz.rosetta.versionExported
true
ethz.COinS
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