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An iterated parametric approach to nonstationary signal extraction

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  • McElroy, Tucker
  • Sutcliffe, Andrew

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  • McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
  • Handle: RePEc:eee:csdana:v:50:y:2006:i:9:p:2206-2231
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    References listed on IDEAS

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    1. Pollock, D S G, 2001. "Filters for Short Non-stationary Sequences," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 341-355, August.
    2. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
    3. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    4. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    5. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, May.
    6. 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.
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    Cited by:

    1. Stephen Pollock, 2014. "Trends Cycles and Seasons: Econometric Methods of Signal Extraction," Discussion Papers in Economics 14/04, Department of Economics, University of Leicester.
    2. McElroy Tucker S, 2010. "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-23, September.
    3. McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 1-37, July.
    4. Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
    5. repec:sbe:breart:v:30:y:2010:i:1:a:3503 is not listed on IDEAS
    6. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).

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