Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-pass and Band-pass Filtering
Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-pass and Band-pass Filtering
RRS2006-13
Abstract
This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observation. We rigorously derive the optimal continuous-lag filter when the signal component is nonstationary, and provide several illustrations, including a new class of continuous-lag Butterworth filters for trend and cycle estimation.
Others in Series
Working Paper
The Error in Business Cycle Estimates Obtained from Seasonally Adju...
The Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data
Working Paper
A Spectral Approach for Locally Assessing Time Series Model Misspec...
A Spectral Approach for Locally Assessing Time Series Model Misspecification
Working Paper
Semiparametric Tail Index Estimation: A Density Quantile Approach
Semiparametric Tail Index Estimation: A Density Quantile Approach
Related Information
Page Last Revised - October 28, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
