A frequency selective filter for short-length time series

DOI10.1007/S10614-005-6276-7MaRDI QIDQ2575451zbMATH OpenOpenAlexFDO

Authors Alessandra Iacobucci, A. Noullez

Publication date 9 December 2005

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL http://repec.org/sce2004/up.4113.1077726997.pdf

zbMATH Keywords

business cyclesspectral methodsfrequency domain filteringHP filterBaxter-King and Christiano-Fitzgerald bandpass filters

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(5)

• On the use of the cumulant generating function for inference on time series
• Sharp filters for short sequences
• Realisations of finite-sample frequency-selective filters
• Band-limited component estimation in time-limited economic series
• Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters

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