A multivariate band‐pass filter for economic time series
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Bibliographic InfoArticle provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series C (Applied Statistics).
Volume (Year): 60 (2011)
Issue (Month): 1 (01)
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- Valle e Azevedo, João & Pereira, Ana, 2013.
"Approximating and forecasting macroeconomic signals in real-time,"
International Journal of Forecasting, Elsevier,
Elsevier, vol. 29(3), pages 479-492.
- João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers, Banco de Portugal, Economics and Research Department w200819, Banco de Portugal, Economics and Research Department.
- Ginters Buss, 2012. "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers, Latvijas Banka 2012/06, Latvijas Banka.
- Jaqueson K. Galimberti & Marcelo L. Moura, 2011.
"Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts,"
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester
159, Economics, The Univeristy of Manchester.
- Jaqueson K. Galimberti & Marcelo L. Moura, 2014. "Improving the Reliability of Real-time Hodrick-Prescott Filtering Using Survey Forecasts," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 14-360, KOF Swiss Economic Institute, ETH Zurich.
- Planas, C. & Roeger, W. & Rossi, A., 2013. "The information content of capacity utilization for detrending total factor productivity," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(3), pages 577-590.
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