%0 Report
%A Bujosa Brun, Marcos
%A García Ferrer, Antonio
%A Young, Peter C.
%T An ARMA representation of unobserved component models under generalized random walk specifications: new algorithms and examples
%J Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2002
%U https://hdl.handle.net/20.500.14352/64494
%X Among the alternative Unobserved Components formulations within the stochastic state space setting, the Dynamic Harmonic Regression (DHR) has proved particularly useful for adaptive seasonal adjustmentsignal 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 compareit with other alternatives, empirical applications are provided.
%~