Trend Estimation And De-Trending Using Bidirectional Filtering

This paper gives an account of a variety of linear filters which can be used for extracting trends from economic time series and for generating de-trended series. A family of rational square-wave filters is described which enable designated frequency ranges to be selected or rejected. Their use is advocated in preference to other filters which are commonly used in quantitative economic analysis.

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Year of publication:	2002
Authors:	Pollock, D.S.G.
Published in:	Bulletin of the Czech Econometric Society. - Česká ekonometrická společnost - CES. - Vol. 9.2002
Publisher:	Česká ekonometrická společnost - CES
Subject:	rational square-wave filters \| trend estimation \| de-trending \| economic time series \| generating de-trended series

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Extent:	text/html
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008540604