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A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

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Author Info
Dimitrios Thomakos

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Abstract

In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum Analysis (SSA) and here I also derive an SSA-based consistent estimator of the drift parameter.

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File URL: http://econ.uop.gr/~econ/RePEc/pdf/optimal_smoothing_drift.pdf
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Publisher Info
Paper provided by University of Peloponnese, Department of Economics in its series Working Papers with number 0025.

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Length: 3 pages
Date of creation: 2008
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Handle: RePEc:uop:wpaper:0025

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Related research
Keywords: drift; forecasting; linear filtering; singular spectrum analysis; smoothing; trend extraction and prediction; unit root.;

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  1. Dimitrios Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Papers 0024, University of Peloponnese, Department of Economics. [Downloadable!]
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