Title: Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-pass and Band-pass Filtering
Publisher: Bibliogov
Publication Date: 2013
Language: English
ISBN 10: 1288708270
ISBN 13: 9781288708277
Binding: Soft cover
Condition: New

About this title

Synopsis

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.

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