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In the literature on Unobservable Component Models, three main statistical instruments have been used for signal extraction: Fixed Interval Smoothing (FIS) which derives from Kalman's seminal work on optimal state-space filter theory in the time domain; Wiener-Kolmogorov-Whittle Optimal Signal Extraction (OSE) theory, which is normally set in the frequency(More)
A new approach to time series modelling is used to explore how government spending and private capital investment may have influenced the unemployment rate in the USA between 1948 and 1988. The resulting model suggests strongly that the investigation of dynamic relationships between purely relative measures of the major macroeconomic variables can help in(More)
This paper describes in detail a flexible approach to nonstationary time series analysis based on a Dynamic Harmonic Regression (DHR) model of the Unobserved Components (UC) type, formulated with a stochastic state space setting. The model is particularly useful for adaptive seasonal adjustment, signal extraction and interpolation over gaps, as well as(More)
In 2008 all ECB publications feature a motif taken from the 10 banknote. Fax +49 69 1344 6000 All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the author(s). The views(More)
In 2007 all ECB publications feature a motif taken from the €20 banknote. 1 The views expressed in this paper are the authors' and do not necessarily reflect those of the European Central Bank. We thank Telex 411 144 ecb d All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced(More)
In 2008 all ECB publications feature a motif taken from the 10 banknote. 1 The views expressed in this paper are those of the authors and not necessarily those of the European Central Bank (ECB). We thank J. Cimadomo, Fax +49 69 1344 6000 All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed(More)
In 2009 all ECB publications feature a motif taken from the €200 banknote. 1 The views expressed in this paper are those of the authors and not necessarily those of the European Central Bank or the Bank of Spain. We thank seminar participants at the for help with the data. Pedregal acknowledges financial support of the Spanish Education and Science Ministry(More)