The effect of linear filters on dynamic time series with structural change

DOI10.1016/0304-4076(94)01684-4zbMath0834.62093OpenAlexW2065639247MaRDI QIDQ1906288

Pierre Perron, Eric Ghysels

Publication date: 12 February 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1866/2038

zbMATH Keywords

asymptotic biasMonte Carlo simulationslinear filteringunit rootsstructural changeseasonal adjustment filterscensus X-11 filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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The choice of time interval in seasonal adjustment: a heuristic approach, Segmenting mean-nonstationary time series via trending regressions, Some statistical aspects of methods for detection of turning points in business cycles, Performance of seasonal unit root tests for monthly data

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