Template-type: ReDIF-Paper 1.0
Author-Name: Marcos Bujosa 
Author-Email: bujosa@ccee.ucm.es
Author-Person: pbu154
Author-Homepage:
 https://www.ucm.es/fundamentos-analisis-economico2/marcos-bujosa/
Author-Workplace-Name: Dpto. de Fundamentos del Análisis Económico II. Universidad Complutense de Madrid.
Author-Workplace-Homepage:
 https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Antonio García Ferrer 
Author-Workplace-Name: Dpto. de Análisis Económico: Economía cuantitativa. Universidad Autónoma de Madrid
Author-Name: Peter Young
Title: An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: 
	New Algorithms and Examples
Abstract: Among the alternative Unobserved Components formulations within the stochastic state space setting, 
	the Dynamic Harmonic Regression (DHR) has proved particularly useful for adaptive seasonal adjustment 
	signal extraction, forecasting and back-casting of time series.
	Here, we show first how to obtain ARMA representations 	for the Dynamic Harmonic Regression (DHR) 
	components under several random walk specifications. Later, we uses these theoretical results to derive 
	an alternative algorithm based on the frequency domain for the identification and estimation of DHR 
	models. The main advantages of this algorithm are linearity, fast computing, avoidance of some numerical 
	issues, and automatic identification of the DHR model. To compare it with other alternatives, empirical 
	applications are provided.
Length: 25 pages 
Creation-Date: 2002
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0204.txt
File-URL: https://eprints.ucm.es/id/eprint/7654/1/0204.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0204