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Trend Estimation And De-Trending Using Bidirectional Filtering

Author

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  • D.S.G. Pollock

Abstract

This paper gives an account of a variety of linear filters which can be used for extracting trends from economic time series and for generating de-trended series. A family of rational square-wave filters is described which enable designated frequency ranges to be selected or rejected. Their use is advocated in preference to other filters which are commonly used in quantitative economic analysis.

Suggested Citation

  • D.S.G. Pollock, 2002. "Trend Estimation And De-Trending Using Bidirectional Filtering," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(15).
  • Handle: RePEc:czx:journl:v:9:y:2002:i:15:id:105
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/105
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    More about this item

    Keywords

    rational square-wave filters; trend estimation; de-trending; economic time series; generating de-trended series;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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