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Filters for Short Nonstationary Sequences

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Author Info

  • Pollock, D.S.G.

Abstract

This 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 Info

Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 00a04.

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Length: 17 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:aixmeq:00a04

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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.
Phone: 04.91.14.07.70
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Web page: http://www.greqam.fr/
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Related research

Keywords: TIME SERIES ; ESTIMATOR ; ECONOMETRICS ; REGRESSION ANALYSIS;

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Cited by:
  1. Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
  2. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary, University of London, School of Economics and Finance.
  3. 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.
  4. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary, University of London, School of Economics and Finance.
  5. 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.

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