Filters for Short Nonstationary Sequences
AbstractThis paper describes a methodology for implementing bidirectional/break frequency-selective filters in cases where the data sequence is short and nonstationary. A sime method is proposed for dealing with start-up problem. The method has a firm theoretical basis and it is computationally efficient.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 00a04.
Length: 17 pages
Date of creation: 2000
Date of revision:
Contact details of provider:
Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Web page: http://www.greqam.fr/
More information through EDIRC
TIME SERIES ; ESTIMATOR ; ECONOMETRICS ; REGRESSION ANALYSIS;
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Pollock, D.S.G., 2006.
"Econometric methods of signal extraction,"
Computational Statistics & Data Analysis,
Elsevier, vol. 50(9), pages 2268-2292, May.
- Stephen Pollock, 2002.
"Recursive Estimation in Econometrics,"
462, Queen Mary, University of London, School of Economics and Finance.
- Stephen Pollock, 2001. "Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem," Working Papers 433, Queen Mary, University of London, School of Economics and Finance.
- Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary, University of London, School of Economics and Finance.
- McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.