Filters for Short Nonstationary Sequences
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- D'Andrade, Kendall, 1992. "The End of an Era," Business Ethics Quarterly, Cambridge University Press, vol. 2(03), pages 379-389, July.
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- Pollock Stephen D.S.G., 2009.
"Statistical Fourier Analysis: Clarifications and Interpretations,"
Journal of Time Series Econometrics,
De Gruyter, vol. 1(1), pages 1-49, April.
- D.S.G. Pollock, 2008. "Statistical Fourier Analysis: Clarifications and Interpretations," Discussion Papers in Economics 08/36, Department of Economics, University of Leicester.
- Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
- 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.
- Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
- Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
- Stephen Pollock, 2001. "Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem," Working Papers 433, Queen Mary University of London, School of Economics and Finance.
More about this item
KeywordsSignal extraction; Linear Filtering; Frequency-domain analysis; Trend estimation;
- 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-ECM-2000-11-14 (Econometrics)
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