EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London  >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62927
  
Title:Econometric methods of signal extraction PDF Logo
Authors:Pollock, Stephen
Issue Date:2005
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 530
Abstract:The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are appropriate to ensure that the filters have the desired characteristics. The digital Butterworth filters, which are described and illustrated in the paper, are specified in this way. The components of an econometric time series often give rise to spectral structures that fall within well-defined frequency bands that are isolated from each other by spectral dead spaces. We find that the finite-sample Wiener-Kolmogorov formulation lends itself readily to a specialisation that is appropriate for dealing with band-limited components.
Subjects:Signal extraction, Linear filtering, Frequency-domain analysis, Trend estimation
JEL:C22
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

Files in This Item:
File Description SizeFormat
487176162.pdf274.92 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/62927

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.