The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions

Tucker McElroy () and Marc Wildi

Econometrics and Statistics, 2020, vol. 14, issue C, 112-130

Abstract: Numerous contexts in macroeconomics, finance, and quality control require real-time estimation of trends, turning points, and anomalies. The real-time signal extraction problem is formulated as a multivariate linear prediction problem, the optimal solution is presented in terms of a known model, and multivariate direct filter analysis is proposed to address the more typical situation where the process’ model is unknown. It is shown how general constraints – such as level and time shift constraints – can be imposed on a concurrent filter in order to guarantee that real-time estimates have requisite properties. The methodology is applied to petroleum and construction data.

Keywords: Frequency Domain; Seasonality; Time Series; Trends (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:14:y:2020:i:c:p:112-130

DOI: 10.1016/j.ecosta.2019.12.004

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