The paper evaluates the potential of band spectral estimation for extracting signals in economic time series. Two situations are considered. The first deals with trend extraction when the original data have been permanently altered by routine operations, such as prefiltering, temporal aggregation and disaggregation, and seasonal adjustment, which modify the high frequencies properties of economic time series. The second is when the measurement model is only partially specified, in that it aims at fitting the series in a particular frequency range, e.g. at interpreting the long run behaviour. These issues are illustrated with reference to a simple structural model, namely the random walk plus noise model.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number
104.
Length: 29 Date of creation: 21 May 2007 Date of revision: Handle: RePEc:rtv:ceisrp:104
Contact details of provider: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Phone: +39062040234 Fax: +39062020687 Email: Web page: http://www.ceistorvergata.it More information through EDIRC
Order Information: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Email: Web: http://www.ceistorvergata.it
For technical questions regarding this item, or to correct its listing, contact: (Marcello Di Biagio).
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Engle, Robert F, 1974.
"Band Spectrum Regression,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
[Downloadable!] (restricted)
Other versions: