A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift
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Keywordsdrift; 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-ALL-2008-04-15 (All new papers)
- NEP-ECM-2008-04-15 (Econometrics)
- NEP-ETS-2008-04-15 (Econometric Time Series)
- NEP-FOR-2008-04-15 (Forecasting)
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