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

DOI10.1080/07474938.2011.553554zbMATH Open1218.62098OpenAlexW2030570305MaRDI QIDQ3019740FDOQ3019740

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

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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)

Cites Work

• Time series: theory and methods.
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• Signal extraction from nonstationary time series
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• Signal extraction and the formulation of unobserved components models
• Non-linear time series regression
• Statistical algorithms for models in state space using SsfPack 2.2
• Trends and cycles in economic time series: a Bayesian approach
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• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
• Correction to "An Extension of the Kolmogorov Distribution"

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

Uses Software

• OxMetrics

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