On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series

DOI10.1080/07474938.2011.553554MaRDI QIDQ3019740zbMATH OpenOpenAlexFDO

Authors Thomas M. Trimbur, Tucker S. McElroy

Publication date 28 July 2011

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2011.553554

zbMATH Keywords

interpolationsignal extractioncontinuous time processesHodrick-Prescott filterlinear filtering

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) Economic time series analysis (91B84)

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• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
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Cited in

(3)

• Signal extraction for nonstationary time series with diverse sampling rules
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• Forecasting continuous-time processes with applications to signal extraction

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• OxMetrics

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