Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering

Tucker S. McElroy and Thomas M. Trimbur

No 2007-68, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

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.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2007
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