This essay was written to accompany a lecture to beginning students of the course of Economic Analytics, which is taught in the Institute of Econometrics of the University of Lodz in Poland. It provides, within a few pages, a broad historical account the development of econometrics. It begins by...

Alternative methods of trend extraction and of seasonal adjustment are described that operate in the time domain and in the frequency domain. The time-domain methods that are implemented in the TRAMO–SEATS and the STAMP programs are described and compared. An abbreviated time-domain method of...

The claim that linear filters are liable to induce spurious fluctuations has been repeated many times of late. However, there are good reasons for asserting that this cannot be the case for the filters that, nowadays, are commonly employed by econometricians. If these filters cannot have the...

The algebra of the Kronecker products of matrices is recapitulated using a notation that reveals the tensor structures of the matrices. It is claimed that many of the difficulties that are encountered in working with the algebra can be alleviated by paying close attention to the indices that are...

A variety of filters that are commonly employed by econometricians are analysed with a view to determining their effectiveness in extracting well-defined components of economic data sequences. These components can be defined in terms of their spectral structures—i.e. their frequency...

Derivations are offered for the LIML and the 2SLS estimators of single equations of the classical econometric simultaneous-equation system that differ from the usual ones. By assimilating both estimators to the method of moments, their essential similarities are highlighted. The LIML estimator...

This paper expounds some of the results of Fourier theory that are essential to the statistical analysis of time series. It employs the algebra of circulant matrices to expose the structure of the discrete Fourier transform and to elucidate the filtering operations that may be applied to finite...

An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value...

This paper gives an account of some techniques for designing recursive frequency-selective filters which can be applied to data sequences of limited duration which may be nonstationary. The designs are based on the Wiener-Kolmogorov theory of signal extraction which employs a statistical model...