Filters for Short Nonstationary Sequences
AbstractThis paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and nonstationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient.
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Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 423.
Date of creation: Oct 2000
Date of revision:
Signal extraction; Linear Filtering; Frequency-domain analysis; Trend estimation;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ECM-2000-11-14 (Econometrics)
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- 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.
- Stephen Pollock, 2005. "Econometric Methods of Signal Extraction," Working Papers 530, Queen Mary, University of London, School of Economics and Finance.
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