Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences
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References listed on IDEAS
- 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.
- Lii, K.S. & Rosenblatt, M., 2008. "Prolate spheroidal spectral estimates," Statistics & Probability Letters, Elsevier, vol. 78(11), pages 1339-1348, August.
- Lawrence J. Christiano & Terry J. Fitzgerald, 2003.
"The Band Pass Filter,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
More about this item
KeywordsTrend filters; Kernels; Concentration; Filter Design.;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric 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-2009-06-17 (All new papers)
- NEP-ECM-2009-06-17 (Econometrics)
- NEP-ETS-2009-06-17 (Econometric Time Series)
- NEP-MAC-2009-06-17 (Macroeconomics)
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