A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation

DOI10.1080/07474930802387837zbMath1161.62062OpenAlexW2098413661MaRDI QIDQ3615076

Estela Bee Dagum, Alessandra Luati

Publication date: 17 March 2009

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

Full work available at URL: https://doi.org/10.1080/07474930802387837

zbMATH Keywords

smoothinggain function13-term Henderson filterfalse turning pointssymmetric linear filter

Mathematics Subject Classification ID

Related Items (5)

Monitoring the direction of the short-term trend of economic indicators ⋮ A new set of asymmetric filters for tracking the short-term trend in real-time ⋮ Real time estimation in local polynomial regression, with application to trend-cycle analysis ⋮ Time series modeling and decomposition ⋮ Spectral filtering for trend estimation

Cites Work

• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Global and local statistical properties of fixed-length nonparametric smoothers
• A linear transformation and its properties with special applications in time series filtering
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