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Improved frequency selective filters

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  • Pollock, D. S. G.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-472JRC1-27/2/0d0f61ed6cf7d8896a56015a219682ab
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 42 (2003)
Issue (Month): 3 (March)
Pages: 279-297

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Handle: RePEc:eee:csdana:v:42:y:2003:i:3:p:279-297

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Web page: http://www.elsevier.com/locate/csda

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References

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  1. Gomez, Victor, 1999. "Three Equivalent Methods for Filtering Finite Nonstationary Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 109-16, January.
  2. James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers 0013, University of Washington, Department of Economics.
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Cited by:
  1. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  2. Regina Kaiser & Agustín Maravall, 2004. "Combining filter design with model based filtering (with an application to business cycle estimation)," Banco de Espa�a Working Papers 0417, Banco de Espa�a.
  3. Tommaso Proietti, 2012. "Seasonality, Forecast Extensions And Business Cycle Uncertainty," Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, 09.
  4. Stephen Pollock, 2005. "Econometric Methods of Signal Extraction," Working Papers 530, Queen Mary, University of London, School of Economics and Finance.
  5. Blöchl, Andreas, 2014. "Penalized Splines as Frequency Selective Filters - Reducing the Excess Variability at the Margins," Discussion Papers in Economics 20687, University of Munich, Department of Economics.
  6. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary, University of London, School of Economics and Finance.
  7. Mastromarco, Camilla & Woitek, Ulrich, 2007. "Regional business cycles in Italy," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 907-918, October.
  8. Ombao, Hernando & Ringo Ho, Moon-ho, 2006. "Time-dependent frequency domain principal components analysis of multichannel non-stationary signals," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2339-2360, May.
  9. Tatiana Cesaroni, 2011. "The cyclical behavior of the Italian business survey data," Empirical Economics, Springer, vol. 41(3), pages 747-768, December.
  10. Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
  11. Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Banco de Espa�a Working Papers 0728, Banco de Espa�a.
  12. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.

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