General Model-based Filters for Extracting Cycles and Trends in Economic Time Series
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- 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.
References listed on IDEAS
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More about this item
Keywordsband pass filter; Butterworth filter; ideal filter; Kalman filter; signal extraction; unobserved components;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-07-30 (All new papers)
- NEP-DGE-2001-07-30 (Dynamic General Equilibrium)
- NEP-ECM-2001-07-30 (Econometrics)
- NEP-ETS-2001-07-30 (Econometric Time Series)
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