Search Results - subject:"Trend Extraction"

Trends cycles and seasons : econometric methods of signal extraction

Pollock, David Stephen G. - 2017

Persistent link: https://www.econbiz.de/10011581633

Using singular spectrum analysis for inference on seasonal time series with seasonal unit roots

Thomakos, Dimitrios D.; Hassani, Hossein - In: International journal of computational economics and … 10 (2020) 2, pp. 149-182

Persistent link: https://www.econbiz.de/10012226710

Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach

Thomakos, Dimitrios; Hassani, Hossein; Patterson, Kerry - Henley Business School, University of Reading - 2013

The problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a …

Persistent link: https://www.econbiz.de/10010747655

Trends cycles and seasons : econometric methods of signal extraction

Pollock, David Stephen G. - In: Econometric reviews 37 (2018) 1/5, pp. 228-246

Persistent link: https://www.econbiz.de/10012038592

A novel look at long-run convergence dynamics in the United States

Gerolimetto, Margherita; Magrini, Stefano - In: International regional science review 40 (2017) 3, pp. 241-269

Persistent link: https://www.econbiz.de/10011704055

Optimal Linear Filtering, Smoothing and Trend Extraction for m-period Differences of Processes with a Unit Root

Thomakos, Dimitrios - Department of Economics, University of Peloponnese - 2008

In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m …

Persistent link: https://www.econbiz.de/10005416766

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios D. - Rimini Centre for Economic Analysis (RCEA) - 2008

In this paper I propose a novel optimal linear ølter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is di¨erent from other linear filters...

Persistent link: https://www.econbiz.de/10005091110

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

Thomakos, Dimitrios - Department of Economics, University of Peloponnese - 2008

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 …

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

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Thomakos, Dimitrios - Department of Economics, University of Peloponnese - 2008

In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters...

Persistent link: https://www.econbiz.de/10005181804

Trend Extraction From Time Series With Structural Breaks

Schlicht, Ekkehart - 2007

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the …

Persistent link: https://www.econbiz.de/10010427486