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Structural Time‐series Modelling of Monetary Aggregates: A Case Study for Eleven European Countries
Author(s) -
WINDER CARLO C. A.
Publication year - 1997
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/(sici)1099-131x(199703)16:2<97::aid-for645>3.0.co;2-m
Subject(s) - series (stratigraphy) , kalman filter , econometrics , unit root , variance (accounting) , mathematics , estimation , maximum likelihood , statistics , variance components , component (thermodynamics) , structural break , economics , paleontology , physics , accounting , management , biology , thermodynamics
Monetary aggregates for eleven European countries are analysed using the structural time‐series methodology, paying special attention to unit root issues. Estimation of the parameters of the models is carried out by applying the asymptotic least squares (ALS) procedure. A comparison with the maximum likelihood estimates obtained via the Kalman filter shows that ALS is an alternative to Kalman filter estimation. The empirical results show that for only a small number of series the four variance parameters of the basic structural model are strictly positive. For the majority of the series the variance of the irregular component is equal to 0.©1997 John Wiley & Sons, Ltd.