A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift
AbstractIn 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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Bibliographic InfoPaper provided by University of Peloponnese, Department of Economics in its series Working Papers with number 0025.
Length: 3 pages
Date of creation: 2008
Date of revision:
drift; forecasting; linear filtering; singular spectrum analysis; smoothing; trend extraction and prediction; unit root.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-15 (All new papers)
- NEP-ECM-2008-04-15 (Econometrics)
- NEP-ETS-2008-04-15 (Econometric Time Series)
- NEP-FOR-2008-04-15 (Forecasting)
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