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 language | English |
|---|---|
| Pages (from-to) | 2009-2023 |
| Number of pages | 15 |
| Journal | Journal of Applied Statistics |
| Volume | 40 |
| Issue number | 9 |
| DOIs | |
| Publication status | Published - 2013 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
Keywords
- Economic series
- filter design
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