Econometric Methods of Signal Extraction

Stephen Pollock
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Stephen Pollock: Queen Mary, University of London

No 530, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are appropriate to ensure that the filters have the desired characteristics. The digital Butterworth filters, which are described and illustrated in the paper, are specified in this way. The components of an econometric time series often give rise to spectral structures that fall within well-defined frequency bands that are isolated from each other by spectral dead spaces. We find that the finite-sample Wiener-Kolmogorov formulation lends itself readily to a specialisation that is appropriate for dealing with band-limited components.

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: 2005-05-01
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Citations: View citations in EconPapers (4)

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