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 | Inglese |
|---|---|
| pagine (da-a) | 2009-2023 |
| Numero di pagine | 15 |
| Rivista | Journal of Applied Statistics |
| Volume | 40 |
| Numero di pubblicazione | 9 |
| DOI | |
| Stato di pubblicazione | Pubblicato - 2013 |
All Science Journal Classification (ASJC) codes
- Statistica e Probabilità
- Statistica, Probabilità e Incertezza
Keywords
- Economic series
- filter design