Econometric methods of signal extraction

DOI10.1016/j.csda.2005.07.010zbMath1445.62315OpenAlexW2138952397MaRDI QIDQ959313

D. Stephen G. Pollock

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/62927

zbMATH Keywords

linear filteringfilter designsignal extractiontrend estimationfrequency-domain analysis

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) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Removing seasonality under a changing regime: filtering new car sales ⋮ Band-limited component estimation in time-limited economic series ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Multivariate modelling of long memory processes with common components ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ Linear dynamic harmonic regression

Uses Software

• STAMP
• CAPTAIN
• TRAMO

Cites Work

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• A systems approach to recursive economic forecasting and seasonal adjustment
• Trend estimation and de-trending via rational square-wave filters
• Sharp filters for short sequences
• A linear transformation and its properties with special applications in time series filtering
• Circulant matrices and time-series analysis
• A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
• Efficient implementation of wilson's algorithm for factorizing a self-reciprocal polynomial
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Algorithm AS 175: Cramer-Wold Factorization
• Factorization of the Covariance Generating Function of a Pure Moving Average Process

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