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.
General
| Imprint: |
Bibliogov
|
| Country of origin: |
United States |
| Release date: |
February 2013 |
| First published: |
February 2013 |
| Authors: |
Tucker S McElroy
|
| Dimensions: |
246 x 189 x 2mm (L x W x T) |
| Format: |
Paperback - Trade
|
| Pages: |
38 |
| ISBN-13: |
978-1-288-70827-7 |
| Categories: |
Books >
Social sciences >
Politics & government >
General
|
| LSN: |
1-288-70827-0 |
| Barcode: |
9781288708277 |
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