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Econometric Methods of Signal Extraction

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  • Stephen Pollock

    (Queen Mary, University of London)

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    Abstract

    The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are appropriate to ensure that the filters have the desired characteristics. The digital Butterworth filters, which are described and illustrated in the paper, are specified in this way. The components of an econometric time series often give rise to spectral structures that fall within well-defined frequency bands that are isolated from each other by spectral dead spaces. We find that the finite-sample Wiener-Kolmogorov formulation lends itself readily to a specialisation that is appropriate for dealing with band-limited components.

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    File URL: http://www.econ.qmul.ac.uk/papers/doc/wp530.pdf
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    Bibliographic Info

    Paper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 530.

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    Date of creation: May 2005
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    Handle: RePEc:qmw:qmwecw:wp530

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    Related research

    Keywords: Signal extraction; Linear filtering; Frequency-domain analysis; Trend estimation;

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    1. Stephen Pollock, 2000. "Filters for Short Nonstationary Sequences," Working Papers 423, Queen Mary, University of London, School of Economics and Finance.
    2. Stephen Pollock, 2000. "Circulant Matrices and Time-series Analysis," Working Papers 422, Queen Mary, University of London, School of Economics and Finance.
    3. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary, University of London, School of Economics and Finance.
    4. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    5. Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
    6. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, June.
    7. Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
    8. Pollock, D. S. G., 2003. "Improved frequency selective filters," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 279-297, March.
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