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Hiernaux, Alfredo G. ; Casals Carro, José ; Jerez Méndez, Miguel | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final[...]texto impreso
Hiernaux, Alfredo G. ; Jerez Méndez, Miguel ; Casals Carro, José | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria[...]
