On August 1 (prior to this year's JSM in Montréal) I published a tutorial on the `general H0-shrinkage'. But I discovered a stealth Bug in the time-shift constraint of I-MDFA. Revised code was published in 1. So here's my refreshed tutorial. Be warned: this is advanced stuff: comprehensive understanding of I-MDFA is needed to avoid pitfalls (some results may appear counter-intuitive to the novice).
In my previous entry 1 I introduced the general concept underlying the Troïkaner. Here I'm posting code and I'll discuss the Troïkaner based on a real-world example (a simplified version of the EURI). I'll conclude by a short `to do' list.
In 1 I proposed a tutorial on an improved regularization feature (the cross-sectional part controlled by lambda_cross) as well as a generalized time-shift constraint (controlled by i2). I believe that these modifications provide useful methodological extensions of the previous I-MDFA framework. Here, I'd like to discuss another meaningful extension, namely a separation of two distinctive effects in the decay-part controlled by lambda_decay. The corresponding modifications are implemented in the Fall-2012 I-MDFA package (Fall-2012) as well as in the latest elements paper, posted in 0. In this entry, I'll provide a short tutorial in order to familiarize with the new - extended/generalized - decay-feature.
Replication of TRAMO/SEATS was proposed in 2 , see section 6 in the posted paper (R-code will be posted here soon).
This entry is about Replication of the CF-filter (R-code, plots and discussions are provided below). As for the HP-filter, this entry was initiated by a SEFBlog-reader: thanks for inputs and feedbacks!
I suggested in various places on this Blog that I-MDFA is able to replicate traditional model-based approaches and/or classical `ad hoc' filters. The following tutorial illustrates a replication of the (practically relevant real-time) HP-filter by I-MDFA. I shaped this entry into the form of a short tutorial, providing (R-) code and graphs. It should be clear that once a particular filter has been replicated by I-MDFA, the whole customization and the new regularization apparatus can be applied in order to match particular research priorities. Therefore the scope of this entry is potentially more general than suggested by its title.
Replication and customization of the model-based approach is proposed in a new working paper by McElroy and Wildi (2012) (still under revision). I'll poste code and paper in Summer this year.