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Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem

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Author Info
Stephen Pollock (Queen Mary, University of London)

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Abstract

In this paper, we portray the essential features of the finite-sample signal extraction problem in both the stationary and the nonstationary cases. The computational procedures can be simplified in the light of our analysis. An important outcome of the analysis is a demonstration that the start-up problem can be handled far more easily that one might expect from a passing acquaintance with the usual practices.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp433.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 433.

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Date of creation: Feb 2001
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Handle: RePEc:qmw:qmwecw:wp433

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Related research
Keywords: Signal extraction; Linear filtering; Trend estimation;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-12-3.

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