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

DOI10.1214/21-AOAS1463MaRDI QIDQ2154164zbMATHOpenAlexWikidataFDO

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

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)

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• scientific article; zbMATH DE number 721889

Cites work

• scientific article; zbMATH DE number 953808 (Why is no real title available?)
• A measure of output gap for Italy through structural time series models
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• Signal extraction from nonstationary time series
• Trends and cycles in economic time series: a Bayesian approach

Cited in

(2)

• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Applying spline-based phase analysis to macroeconomic dynamics

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