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Bujosa Brun, Marcos ; García Ferrer, Antonio ; Young, Peter C. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03Among 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-cas[...]texto impreso
García Ferrer, Antonio ; Sebastián Gascón, Carlos | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-05Every procedure used to characterize business cycles by filtering macroeconomic series have some arbitrary elements and, therefore, they should, at least, satisfied the weak criterion of replicating the peaks and throughs of business cycles from[...]texto impreso
García Ferrer, Antonio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1995-03We analyze the ability of recent methods proposed for the specification and estimation of relationships among nonstationary variables, to overcome the traditional instability of empirical money demand functions. We use a 1964-1982 sample for the[...]texto impreso
García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Novales Cinca, Alfonso ; Young, Peter C. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993Forecast of international GNP growth rates are computed using a novel, onobserved components model that allows for estimating the trend and the perturbational components in GNPdata. The model is formulated in state space terms, and estimating us[...]texto impreso
Bujosa Brun, Marcos ; Bujosa Brun, Andrés ; García Ferrer, Antonio | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2015Although spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not always so for some non-stationary cases. Here, we establish a rigorous mathematical extension of the classic Fourier spectrum to the ca[...]texto impreso
García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Martín-Arroyo, Antonio ; Young, Peter C. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1994This paper investigates the forecasting ability of a new univariate models family of unobservable components, when compared with other more standard univariate methodologies. A forecasting exercice is carried out with each method, in monthly tim[...]texto impreso
García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Young, Peter C. ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993En este trabajo proponemos un modelo novedoso de componentes no observables para las variaciones en el PNB anual en varios países. El modelo se formula en espacio de los estados y se estima mediante procedimientos recursivos de filtrado y de sua[...]
