Filter-Design and Model-Based Analysis of Economic Cycles
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- Andrew C. Harvey & Thomas M. Trimbur, 2003.
"General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series,"
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More about this item
Keywords
Kalman Filter; Fixed Interval Smoother; Frequency Domain; Unobserved Components Models; State Space models.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-05-12 (Econometrics)
- NEP-ETS-2003-04-27 (Econometric Time Series)
- NEP-MAC-2003-04-27 (Macroeconomics)
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