Optimal Linear Filtering, Smoothing and Trend Extraction for m-period Differences of Processes with a Unit Root
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Keywordscore inflation; business cycles; differences; euro; linear filtering; singular spectrum analysis; smoothing; trading strategies; trend extraction and prediction; unit root.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-18 (All new papers)
- NEP-CBA-2008-11-18 (Central Banking)
- NEP-ECM-2008-11-18 (Econometrics)
- NEP-ETS-2008-11-18 (Econometric Time Series)
- NEP-MAC-2008-11-18 (Macroeconomics)
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