Modelled approximations to the ideal filter with application to GDP and its components

DOI10.1214/21-AOAS1463zbMATH Open1498.62314OpenAlexW4282584600WikidataQ114060494 ScholiaQ114060494MaRDI QIDQ2154164FDOQ2154164

Authors: Thomas M. Trimbur, Tucker S. McElroy 

Publication date: 14 July 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/21-aoas1463

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• scientific article; zbMATH DE number 721889

zbMATH Keywords

unobserved componentssignal extractionbusiness cyclesband-pass filterideal filterstochastic cycles

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)
• Signal extraction from nonstationary time series
• Trends and cycles in economic time series: a Bayesian approach
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• A measure of output gap for Italy through structural time series models

Cited In (1)

• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter

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