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A note on Musgrave asymmetrical trend-cycle filters

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  • Quenneville, Benoit
  • Ladiray, Dominique
  • Lefrancois, Bernard

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  • Quenneville, Benoit & Ladiray, Dominique & Lefrancois, Bernard, 2003. "A note on Musgrave asymmetrical trend-cycle filters," International Journal of Forecasting, Elsevier, vol. 19(4), pages 727-734.
    • Handle: RePEc:eee:intfor:v:19:y:2003:i:4:p:727-734
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    References listed on IDEAS

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    1. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
    2. D. Pfeffermann, 1994. "A General Method For Estimating The Variances Of X‐11 Seasonally Adjusted Estimators," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(1), pages 85-116, January.
    3. Gray, Alistair G & Thomson, Peter J, 2002. "On a Family of Finite Moving-Average Trend Filters for the Ends of Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(2), pages 125-149, March.
    4. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
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    Cited by:

    1. D.S.G. Pollock, 2018. "The Manual for IDEOLOG.PAS. A Program for Filtering Econometric Data," Discussion Papers in Economics 19/09, Division of Economics, School of Business, University of Leicester.
    2. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    3. Ladiray, Dominique & Quenneville, Benoit, 2004. "Implementation issues on shrinkage estimators for seasonal factors within the X-11 seasonal adjustment method," International Journal of Forecasting, Elsevier, vol. 20(4), pages 557-560.
    4. Tommaso Proietti & Alessandra Luati, 2008. "Real Time Estimation in Local Polynomial Regression, with Application to Trend-Cycle Analysis," CEIS Research Paper 112, Tor Vergata University, CEIS, revised 14 Jul 2008.
    5. Michel Grun-Rehomme & OLGA VASYECHKO, 2013. "Methodes De Lissage D’Une Serie Temporelle :Le Probleme Des Extremites," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(2), pages 163-174.
    6. Bianconcini, Silvia & Quenneville, Benoit, 2010. "Real Time Analysis Based on Reproducing Kernel Henderson Filters/Análisis en tiempo real basado en la reproducción de los filtros de núcleo de Henderson," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 553-574, Diciembre.
    7. Terence Mills, 2007. "A Note on Trend Decomposition: The 'Classical' Approach Revisited with an Application to Surface Temperature Trends," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(8), pages 963-972.
    8. D.S.G. Pollock, 2009. "IDEOLOG: A Program for Filtering Econometric Data -- A Synopsis of Alternative Methods," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 2, pages 15-44, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
    9. Webel, Karsten, 2026. "Redesigning the classical automatic selection of X-11 seasonal filters," Discussion Papers 07/2026, Deutsche Bundesbank.

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