Trends cycles and seasons: Econometric methods of signal extraction

DOI10.1080/07474938.2015.1033218zbMath1490.62265OpenAlexW2312320123MaRDI QIDQ5034248

D. Stephen G. Pollock

Publication date: 24 February 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://www.le.ac.uk/economics/research/RePEc/lec/leecon/dp14-04.pdf

zbMATH Keywords

seasonal adjustmenttrend extractionfrequency-domain filtersWiener-Kolmogorov filters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• STAMP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• STAMP
• Signal extraction from nonstationary time series
• An iterated parametric approach to nonstationary signal extraction
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• WIENER–KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION
• Seasonal adjustment with the X-11 method

This page was built for publication: Trends cycles and seasons: Econometric methods of signal extraction