A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum Analysis (SSA) and here I also derive an SSA-based consistent estimator of the drift parameter.

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Year of publication:	2008
Authors:	Thomakos, Dimitrios
Institutions:	Department of Economics, University of Peloponnese
Subject:	drift \| forecasting \| linear filtering \| singular spectrum analysis \| smoothing \| trend extraction and prediction \| unit root

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 0025 3 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005636116