Band-limited component estimation in time-limited economic series

Maria Zoia, Laura Barbieri, Mario Faliva

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

This paper tackles the issue of economic time series modeling from a joint time and frequency domain standpoint, with the objective of estimating the latent trend-cycle component. This is accomplished through a matrix operator with sinc funtions as entries, mirroring the ideal low-pass filter impulse response. The paper is completed by applying this filter to quarterly data from Italian industrial production.
Original languageEnglish
Pages (from-to)2009-2023
Number of pages15
JournalJournal of Applied Statistics
Volume40
DOIs
Publication statusPublished - 2013

Keywords

  • Economic series
  • filter design

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