Trend estimation and de-trending via rational square-wave filters

被引：76

作者：

Pollock, DSG ^{[1
]}

机构：

[1] Univ London Queen Mary & Westfield Coll, London E1 4NS, England

来源：

JOURNAL OF ECONOMETRICS | 2000年 / 99卷 / 02期

关键词：

signal extraction; linear filtering; frequency-domain analysis; trend estimation;

D O I：

10.1016/S0304-4076(00)00028-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper gives an account of some techniques of linear filtering which can be used for extracting trends from economic time series of limited duration and for generating de-trended series. A family of rational square-wave filters is described which enable designated frequency ranges to be selected or rejected. Their use is advocated in preference to other filters which are commonly used in quantitative economic analysis. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C22.

引用

页码：317 / 334

页数：18

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