An iterated parametric approach to nonstationary signal extraction
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References listed on IDEAS
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- Stephen Pollock, 2014.
"Trends Cycles and Seasons: Econometric Methods of Signal Extraction,"
Discussion Papers in Economics
14/04, Department of Economics, University of Leicester.
- D.S.G. Pollock, 2017. "Trends Cycles And Seasons: Econometric Methods Of Signal Extraction," Discussion Papers in Economics 17/02, Department of Economics, University of Leicester.
- 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.
- Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
- 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.
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- 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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