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Filters for Short Nonstationary Sequences

Author

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  • Stephen Pollock

    (Queen Mary, University of London)

Abstract

This paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and nonstationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient.

Suggested Citation

  • Stephen Pollock, 2000. "Filters for Short Nonstationary Sequences," Working Papers 423, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:wp423
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    File URL: http://www.econ.qmul.ac.uk/media/econ/research/workingpapers/archive/wp423.pdf
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    References listed on IDEAS

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    1. 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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    Cited by:

    1. 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.
    2. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    3. 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.
    4. 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.
    5. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
    6. Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.

    More about this item

    Keywords

    Signal extraction; Linear Filtering; Frequency-domain analysis; Trend estimation;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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