Econometric methods of signal extraction

DOI10.1016/J.CSDA.2005.07.010MaRDI QIDQ959313zbMATH OpenOpenAlexFDO

Authors D. Stephen G. Pollock

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/62927

zbMATH Keywords

signal extractiontrend estimationlinear filteringfilter designfrequency-domain analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 432514 (Why is no real title available?)
• scientific article; zbMATH DE number 3165668 (Why is no real title available?)
• scientific article; zbMATH DE number 3545060 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1446720 (Why is no real title available?)
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• A linear transformation and its properties with special applications in time series filtering
• A systems approach to recursive economic forecasting and seasonal adjustment
• Algorithm AS 175: Cramer-Wold Factorization
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Circulant matrices and time-series analysis
• Efficient implementation of wilson's algorithm for factorizing a self-reciprocal polynomial
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• Improved frequency selective filters
• Recursive estimation in econometrics
• Sharp filters for short sequences
• Trend estimation and de-trending via rational square-wave filters

Cited in

(15)

• Multivariate modelling of long memory processes with common components
• Trends cycles and seasons: econometric methods of signal extraction
• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• Linear dynamic harmonic regression
• Semiparametric approaches to signal extraction problems in economic time series
• Band-limited component estimation in time-limited economic series
• Removing seasonality under a changing regime: filtering new car sales
• Recursive and en-bloc approaches to signal extraction
• Editorial: 2nd special issue on statistical signal extraction and filtering
• Analysis of dynamic economic phenomenon using filtering method
• scientific article; zbMATH DE number 3874450 (Why is no real title available?)
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• Signal extraction and filtering by linear semiparametric methods
• Signal extraction for nonstationary time series with diverse sampling rules
• Signal extraction. Efficient estimation, `unit root'-tests and early detection of turning points.

Describes a project that uses

Uses Software

• TRAMO
• CAPTAIN
• STAMP

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