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Econometric Methods of Signal Extraction

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  • Stephen Pollock

    (Queen Mary, University of London)

Abstract

The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are appropriate to ensure that the filters have the desired characteristics. The digital Butterworth filters, which are described and illustrated in the paper, are specified in this way. The components of an econometric time series often give rise to spectral structures that fall within well-defined frequency bands that are isolated from each other by spectral dead spaces. We find that the finite-sample Wiener-Kolmogorov formulation lends itself readily to a specialisation that is appropriate for dealing with band-limited components.

Suggested Citation

  • Stephen Pollock, 2005. "Econometric Methods of Signal Extraction," Working Papers 530, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:530
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2005/items/wp530.pdf
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    References listed on IDEAS

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    6. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
    7. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    8. 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.
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    Cited by:

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    2. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.

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    More about this item

    Keywords

    Signal extraction; Linear filtering; Frequency-domain analysis; 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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