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.
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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:
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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
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- Pollock, D. S. G., 2003.
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Elsevier, vol. 44(1-2), pages 37-75, October.
- 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.
- Stephen Pollock, 2005.
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- 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.
- Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary, University of London, School of Economics and Finance.
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