Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration
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- Dimitrios D. Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Paper series 14_08, Rimini Centre for Economic Analysis.
References listed on IDEAS
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- Theodore Alexandrov & Silvia Bianconcini & Estela Bee Dagum & Peter Maass & Tucker S. McElroy, 2012. "A Review of Some Modern Approaches to the Problem of Trend Extraction," Econometric Reviews, Taylor & Francis Journals, vol. 31(6), pages 593-624, November.
- D.S. Poskitt, 2016. "Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction," Monash Econometrics and Business Statistics Working Papers 15/16, Monash University, Department of Econometrics and Business Statistics.
More about this item
Keywordscointegration; forecasting; linear filtering; singular spectrum analysis; smoothing; trend extraction and prediction; unit root.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2008-04-15 (Econometrics)
- NEP-ETS-2008-04-15 (Econometric Time Series)
- NEP-FOR-2008-04-15 (Forecasting)
- NEP-ORE-2008-04-15 (Operations Research)
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