Band Spectral Estimation for Signal Extraction
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Proietti, Tommaso, 2008. "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, vol. 25(1), pages 54-69, January.
References listed on IDEAS
- Watson, Mark W, 1993.
"Measures of Fit for Calibrated Models,"
Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1011-1041, December.
- Mark W. Watson, 1991. "Measures of Fit for Calibrated Models," NBER Technical Working Papers 0102, National Bureau of Economic Research, Inc.
- Mark W. Watson, 1991. "Measures of fit for calibrated models," Working Paper Series, Macroeconomic Issues 91-9, Federal Reserve Bank of Chicago.
- Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002.
"Band Spectral Regression with Trending Data,"
Econometrica, Econometric Society, vol. 70(3), pages 1067-1109, May.
- Dean Corbae & Sam Ouliaris & Peter C.B. Phillips, 1997. "Band Spectral Regression with Trending Data," Cowles Foundation Discussion Papers 1163, Cowles Foundation for Research in Economics, Yale University.
- Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997. "Band Spectral Regression with Trending Data," Working Papers 97-09, University of Iowa, Department of Economics.
- Andrew Harvey & Siem Jan Koopman, 2000.
"Signal extraction and the formulation of unobserved components models,"
Econometrics Journal, Royal Economic Society, vol. 3(1), pages 84-107.
- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Discussion Paper 1999-44, Tilburg University, Center for Economic Research.
- Harvey, A.C. & Koopman, S.J.M., 1999. "Signal Extraction and the Formulation of Unobserved Components Models," Other publications TiSEM 44688527-92c9-4c46-ac53-f, Tilburg University, School of Economics and Management.
- Tommaso Proietti, 2005.
"Forecasting and signal extraction with misspecified models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
- Tommaso Proietti, 2004. "Forecasting and Signal Extraction with Misspecified Models," Econometrics 0401002, University Library of Munich, Germany.
- Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999.
"Statistical algorithms for models in state space using SsfPack 2.2,"
Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
- Christiano, Lawrence J. & Vigfusson, Robert J., 2003.
"Maximum likelihood in the frequency domain: the importance of time-to-plan,"
Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
- Lawrence J. Christiano & Robert J. Vigfusson, 2001. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Working Papers (Old Series) 0106, Federal Reserve Bank of Cleveland.
- Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998.
"Dynamic Equilibrium Economies: A Framework for Comparing Models and Data,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 433-451.
- Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1995. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," NBER Technical Working Papers 0174, National Bureau of Economic Research, Inc.
- Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian, 1997. "Dynamic equilibrium economies: a framework for comparing models and data," Finance and Economics Discussion Series 1997-23, Board of Governors of the Federal Reserve System (U.S.).
- Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian, 1998. "Dynamic equilibrium economies: a framework for comparing models and data," Staff Report 243, Federal Reserve Bank of Minneapolis.
- Jeremy Berkowitz & Francis X. Diebold & Lee E. Ohanian, 1997. "Dynamic equilibrium economies: a framework for comparing models and data," Working Papers 97-7, Federal Reserve Bank of Philadelphia.
- J. Haywood & G. Tunnicliffe Wilson, 1997. "Fitting Time Series Models by Minimizing Multistep‐ahead Errors: a Frequency Domain Approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(1), pages 237-254.
- Chow, Gregory C & Lin, An-loh, 1971.
"Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,"
The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
- Tom Doan, "undated". "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
- Tom Doan, "undated". "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
OUP Catalogue,
Oxford University Press,
edition 2, number 9780199641178.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
- Tommaso Proietti, 2006.
"Temporal disaggregation by state space methods: Dynamic regression methods revisited,"
Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
- Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, University Library of Munich, Germany.
- Andrew Harvey & Chia‐Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
- Engle, Robert F, 1974.
"Band Spectrum Regression,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
- R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
- Robinson, Peter M., 1977. "The construction and estimation of continuous time models and discrete approximations in econometrics," Journal of Econometrics, Elsevier, vol. 6(2), pages 173-197, September.
- Engle, Robert F, 1978. "Testing Price Equations for Stability across Spectral Frequency Bands," Econometrica, Econometric Society, vol. 46(4), pages 869-881, July.
- D.S.G. Pollock, 2007. "Investigating Economic Trends And Cycles," Discussion Papers in Economics 07/17, Division of Economics, School of Business, University of Leicester, revised Apr 2008.
- Jaeger, Albert, 1992. "Does Consumption Take a Random Walk? Some Evidence from Macroeconomic Forecasting Data," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 607-614, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- D.S.G. Pollock, 2017. "Stochastic processes of limited frequency and the effects of oversampling," Discussion Papers in Economics 17/03, Division of Economics, School of Business, University of Leicester.
- D.S.G. Pollock, 2010. "Oversampling of stochastic processes," Working Papers 44, Department of Applied Econometrics, Warsaw School of Economics.
- Gianfreda, Angelica & Maranzano, Paolo & Parisio, Lucia & Pelagatti, Matteo, 2023. "Testing for integration and cointegration when time series are observed with noise," Economic Modelling, Elsevier, vol. 125(C).
- Pollock, D.S.G., 2018. "Stochastic processes of limited frequency and the effects of oversampling," Econometrics and Statistics, Elsevier, vol. 7(C), pages 18-29.
- Shi, Wendong & Sun, Jingwei, 2016. "Aggregation and long-memory: An analysis based on the discrete Fourier transform," Economic Modelling, Elsevier, vol. 53(C), pages 470-476.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jinho Choi & Juan Carlos Escanciano & Junjie Guo, 2022. "Generalized band spectrum estimation with an application to the New Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1055-1078, August.
- Christian Caamaño-Carrillo & Sergio Contreras-Espinoza & Orietta Nicolis, 2023. "Reconstructing the Quarterly Series of the Chilean Gross Domestic Product Using a State Space Approach," Mathematics, MDPI, vol. 11(8), pages 1-14, April.
- Cecilia Frale, "undated". "Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?," Working Papers wp2008-2, Department of the Treasury, Ministry of the Economy and of Finance.
- Marcellino, Massimiliano & Proietti, Tommaso & Frale, Cecilia & Mazzi, Gian Luigi, 2008.
"A Monthly Indicator of the Euro Area GDP,"
CEPR Discussion Papers
7007, C.E.P.R. Discussion Papers.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2008. "A Monthly Indicator of the Euro Area GDP," Economics Working Papers ECO2008/32, European University Institute.
- Moauro, Filippo, 2010. "A monthly indicator of employment in the euro area: real time analysis of indirect estimates," MPRA Paper 27797, University Library of Munich, Germany, revised 30 Dec 2010.
- Christiano, Lawrence J. & Vigfusson, Robert J., 2003.
"Maximum likelihood in the frequency domain: the importance of time-to-plan,"
Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
- Lawrence J. Christiano & Robert J. Vigfusson, 2001. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Working Papers (Old Series) 0106, Federal Reserve Bank of Cleveland.
- Koopman, Siem Jan & Harvey, Andrew, 2003.
"Computing observation weights for signal extraction and filtering,"
Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
- A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society.
- Gianfreda, Angelica & Maranzano, Paolo & Parisio, Lucia & Pelagatti, Matteo, 2023. "Testing for integration and cointegration when time series are observed with noise," Economic Modelling, Elsevier, vol. 125(C).
- Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
- Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.
- Tommaso Proietti, 2002.
"Some Reflections on Trend-Cycle Decompositions with Correlated Components,"
Econometrics
0209002, University Library of Munich, Germany.
- Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute.
- Richard Ashley & Randal Verbrugge, 2009.
"Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
- Richard A. Ashley. & Randall J. Verbrugge, 2006. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Working Papers e06-7, Virginia Polytechnic Institute and State University, Department of Economics.
- Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.
- Tommaso Proietti, 2006.
"Temporal disaggregation by state space methods: Dynamic regression methods revisited,"
Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
- Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, University Library of Munich, Germany.
- Laura Bisio & Filippo Moauro, 2018.
"Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 471-494, November.
- Bisio, Laura & Moauro, Filippo, 2017. "Temporal disaggregation by dynamic regressions: recent developments in Italian quarterly national accounts," MPRA Paper 80211, University Library of Munich, Germany, revised 14 Jul 2017.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2010.
"Survey data as coincident or leading indicators,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 109-131.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, "undated". "Survey Data as Coincident or Leading Indicators," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.
- Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2009. "Survey Data as Coicident or Leading Indicators," Economics Working Papers ECO2009/19, European University Institute.
- Yohei Yamamoto & Pierre Perron, 2013.
"Estimating and testing multiple structural changes in linear models using band spectral regressions,"
Econometrics Journal, Royal Economic Society, vol. 16(3), pages 400-429, October.
- Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.
- Yohei Yamamoto & Pierre Perron, 2012. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Global COE Hi-Stat Discussion Paper Series gd12-250, Institute of Economic Research, Hitotsubashi University.
- Zhongjun Qu, 2018.
"A Composite Likelihood Framework for Analyzing Singular DSGE Models,"
The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
- Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.
- Yasutomo Murasawa & Roberto S. Mariano, 2004.
"Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model,"
Econometric Society 2004 Far Eastern Meetings
710, Econometric Society.
- Roberto S. Mariano & Yasutomo Murasawa, 2004. "Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model," Working Papers 22-2004, Singapore Management University, School of Economics, revised Oct 2004.
- Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
More about this item
Keywords
Temporal Aggregation; Seasonal Adjustment; Trend Component; Frequency Domain.;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
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-07-13 (Econometrics)
- NEP-ETS-2007-07-13 (Econometric Time Series)
- NEP-MAC-2007-07-13 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rtv:ceisrp:104. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Barbara Piazzi (email available below). General contact details of provider: https://edirc.repec.org/data/csrotit.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.