Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem

Stephen Pollock
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Stephen Pollock: Queen Mary, University of London

No 433, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: In this paper, we portray the essential features of the finite-sample signal extraction problem in both the stationary and the nonstationary cases. The computational procedures can be simplified in the light of our analysis. An important outcome of the analysis is a demonstration that the start-up problem can be handled far more easily that one might expect from a passing acquaintance with the usual practices.

Keywords: Signal extraction; Linear filtering; Trend estimation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2001-02-01
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:433

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