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Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem

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  • Stephen Pollock

    (Queen Mary, University of London)

Abstract

In this paper, we portray the essential features of the finite-sample signal extraction problem in both the stationary and the nonstationary cases. The computational procedures can be simplified in the light of our analysis. An important outcome of the analysis is a demonstration that the start-up problem can be handled far more easily that one might expect from a passing acquaintance with the usual practices.

Suggested Citation

  • Stephen Pollock, 2001. "Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem," Working Papers 433, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:433
    as

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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2001/items/wp433.pdf
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    References listed on IDEAS

    as
    1. Stephen Pollock, 2000. "Filters for Short Nonstationary Sequences," Working Papers 423, Queen Mary University of London, School of Economics and Finance.
    2. Pollock, D S G, 2001. "Filters for Short Non-stationary Sequences," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 341-355, August.
    3. Agustin Maravall & David A. Pierce, 1987. "A Prototypical Seasonal Adjustment Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(2), pages 177-193, March.
    4. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 299-307, October.
    5. Pollock, D S G, 2001. "Filters for Short Non-stationary Sequences," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 341-355, August.
    6. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 313-315, October.
    7. Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Signal extraction; Linear filtering; Trend estimation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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