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 originale | English |
---|---|
pagine (da-a) | 2009-2023 |
Numero di pagine | 15 |
Rivista | Journal of Applied Statistics |
Volume | 40 |
DOI | |
Stato di pubblicazione | Pubblicato - 2013 |
Keywords
- Economic series
- filter design