On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates

DOI10.1080/07474930802388025zbMath1161.62060OpenAlexW2791376391MaRDI QIDQ3615084

Tommaso Proietti

Publication date: 17 March 2009

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

Full work available at URL: https://doi.org/10.1080/07474930802388025

zbMATH Keywords

signal extractionrevisionsKalman filter and smootherbandpass filterstrend-cycle filters

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) Economic time series analysis (91B84)

Related Items (1)

Band-limited component estimation in time-limited economic series

Uses Software

• Ox

Cites Work

• Unnamed Item
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Signal extraction error in nonstationary time series
• The diffuse Kalman filter
• Measuring business cycles in economic time series
• Trend estimation and de-trending via rational square-wave filters
• Smoothing and Interpolation with the State-Space Model
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Statistical algorithms for models in state space using SsfPack 2.2
• A survey of spectral factorization methods
• Prediction theory for autoregressivemoving average processes

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