Trends Cycles and Seasons: Econometric Methods of Signal Extraction

David Pollock ()

No 14/04, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: 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 seasonal adjustment that is implemented in the IDEOLOG program is also described. Finite-sample versions of the Wiener–Kolmogorov filter are described that can be used to implement the methods in a common way. The frequency-domain method, which is also implemented in the IDEOLOG program, employs a ideal frequency selective filter that depends on identifying the ordinates of the Fourier transform of a detrended data sequence that should lie in the pass band of the filter and those that should lie in its stop band. Filters of this nature can be used both for extracting a low-frequency cyclical component of the data and for extracting the seasonal component.

Keywords: Signal extraction; Linear filtering; Frequency-domain analysis. Seasonal Adjustment (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2014-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Working Paper: Trends Cycles And Seasons: Econometric Methods Of Signal Extraction (2017)
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