Filters for Short Nonstationary Sequences

Stephen Pollock
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Stephen Pollock: Queen Mary, University of London

No 423, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and nonstationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient.

Keywords: Signal extraction; Linear Filtering; Frequency-domain analysis; Trend estimation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2000-10-01
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:423

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