Band-limited component estimation in time-limited economic series

Maria Zoia, Laura Barbieri, Mario Faliva

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

1 Citazioni (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.
Lingua originaleEnglish
pagine (da-a)2009-2023
Numero di pagine15
RivistaJournal of Applied Statistics
Volume40
DOI
Stato di pubblicazionePubblicato - 2013

Keywords

  • Economic series
  • filter design

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