On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series

DOI10.1080/07474938.2011.553554zbMath1218.62098OpenAlexW2030570305MaRDI QIDQ3019740

Thomas M. Trimbur, Tucker S. McElroy

Publication date: 28 July 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.553554

zbMATH Keywords

interpolationlinear filteringHodrick-Prescott filtersignal extractioncontinuous time processes

Mathematics Subject Classification ID

Related Items (2)

Forecasting continuous-time processes with applications to signal extraction ⋮ Signal extraction for nonstationary time series with diverse sampling rules

Uses Software

• OxMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Trends and cycles in economic time series: a Bayesian approach
• Signal extraction from nonstationary time series
• Time series: theory and methods.
• Statistical algorithms for models in state space using SsfPack 2.2
• Signal extraction and the formulation of unobserved components models
• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
• Non-linear time series regression
• Correction to "An Extension of the Kolmogorov Distribution"

This page was built for publication: On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series