Details about Thomas Morgan Trimbur

Access statistics for papers by Thomas Morgan Trimbur.

Last updated 2023-05-05. Update your information in the RePEc Author Service.

Short-id: ptr282

Working Papers

2012

1. Signal extraction for nonstationary multivariate time series with illustrations for trend inflation
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
   See also Journal Article Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation, Journal of Time Series Analysis, Wiley Blackwell (2015) View citations (3) (2015)

2009

2. Improving real-time estimates of the output gap
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2007

3. Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2005

4. Trends and cycles in economic time series: A Bayesian approach
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
   See also Journal Article Trends and cycles in economic time series: A Bayesian approach, Journal of Econometrics, Elsevier (2007) View citations (81) (2007)

2004

5. Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
6. Cyclical components in economic time series: A Bayesian approach
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations (8)

2002

7. Cyclical components in economic time series
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)

2001

8. General Model-based Filters for Extracting Cycles and Trends in Economic Time Series
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (25)
   See also Journal Article General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series, The Review of Economics and Statistics, MIT Press (2003) View citations (173) (2003)

2000

9. Heterogeneous policy responses and the risk of monetary disintegration in Europe
   Research Notes, Deutsche Bank Research View citations (2)

1998

10. A new approach to the evaluation and selection of leading indicators
    Research Notes, Deutsche Bank Research

Journal Articles

2023

1. Variable targeting and reduction in large vector autoregressions with applications to workforce indicators
   Journal of Applied Statistics, 2023, 50, (7), 1515-1537

2017

2. Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules
   Journal of Time Series Econometrics, 2017, 9, (1), 37

2015

3. Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation
   Journal of Time Series Analysis, 2015, 36, (2), 209-227 View citations (3)
   See also Working Paper Signal extraction for nonstationary multivariate time series with illustrations for trend inflation, Finance and Economics Discussion Series (2012) View citations (4) (2012)

2011

4. Comments on "Calling recessions in real time"
   International Journal of Forecasting, 2011, 27, (4), 1027-1031
5. On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
   Econometric Reviews, 2011, 30, (5), 475-513 View citations (3)

2010

6. Stochastic level shifts and outliers and the dynamics of oil price movements
   International Journal of Forecasting, 2010, 26, (1), 162-179 View citations (3)

2007

7. A Note on Common Cycles, Common Trends, and Convergence
   Journal of Business & Economic Statistics, 2007, 25, 12-20 View citations (18)
8. Trends and cycles in economic time series: A Bayesian approach
   Journal of Econometrics, 2007, 140, (2), 618-649 View citations (81)
   See also Working Paper Trends and cycles in economic time series: A Bayesian approach, Econometric Institute Research Papers (2005) View citations (7) (2005)

2006

9. Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter
   Journal of Forecasting, 2006, 25, (4), 247-273 View citations (7)
10. Properties of higher order stochastic cycles
    Journal of Time Series Analysis, 2006, 27, (1), 1-17 View citations (20)

2003

11. General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
    The Review of Economics and Statistics, 2003, 85, (2), 244-255 View citations (173)
    See also Working Paper General Model-based Filters for Extracting Cycles and Trends in Economic Time Series, Cambridge Working Papers in Economics (2001) View citations (25) (2001)