Trend estimation and de-trending via rational square-wave filters

DOI10.1016/S0304-4076(00)00028-2zbMATH Open0964.62094OpenAlexW2100741504WikidataQ127352296 ScholiaQ127352296MaRDI QIDQ1841191FDOQ1841191

Authors: D. Stephen G. Pollock 

Publication date: 19 July 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00028-2

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zbMATH Keywords

signal extractiontrend estimationlinear filteringfrequency-domain analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Seasonal Adjustment by Signal Extraction
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• Low frequency filtering and real business cycles
• Signal extraction from nonstationary time series
• Smoothing by spline functions.
• The diffuse Kalman filter
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Title not available (Why is that?)
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Cited In (29)

• New algorithms for dating the business cycle
• SPECTRAL REGULARIZATION, DATA COMPLEXITY AND AGENT BEHAVIOR
• Trend filtering via empirical mode decompositions
• An iterated parametric approach to nonstationary signal extraction
• Econometric methods of signal extraction
• Introduction to the special issue on statistical signal extraction and filtering
• A nonparametric method for asymmetrically extending signal extraction filters
• A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
• Title not available (Why is that?)
• Sharp filters for short sequences
• Wiener-Kolmogorov filtering, frequency-selective filtering, and polynomial regression
• Removing seasonality under a changing regime: filtering new car sales
• Title not available (Why is that?)
• MODELS THAT GENERATE TRENDS
• Signal restoration in linear systems with trends
• Signal restoration in linear systems with trends. II
• Smoothing non-stationary time series using the discrete cosine transform
• Recursive estimation in econometrics
• Detrending time-aggregated data
• A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters
• Trend estimation of financial time series
• Decomposition of time series models in state-space form
• A note on trend decomposition: the `classical' approach revisited with an application to surface temperature trends
• Spectral filtering for trend estimation
• Signal extraction and filtering by linear semiparametric methods
• Trend estimation and de-trending
• Cycles, syllogisms and semantics: examining the idea of spurious cycles
• Estimation of trends and identification of time series dynamics in short observation sections
• On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates

Uses Software

• STAMP

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