Trends cycles and seasons: Econometric methods of signal extraction

D. S. G. Pollock

Econometric Reviews, 2018, vol. 37, issue 3, 228-246

Abstract: Alternative methods of trend extraction and of seasonal adjustment are described that operate in the time domain and in the frequency domain.The time-domain methods that are implemented in the TRAMO–SEATS and the STAMP programs are compared. An abbreviated time-domain method of seasonal adjustment that is implemented in the IDEOLOG program is also presented. Finite-sample versions of the Wiener–Kolmogorov filter are described that can be used to implement the methods in a common way.The frequency-domain method, which is also implemented in the IDEOLOG program, employs an ideal frequency selective filter that depends on identifying the ordinates of the Fourier transform of a detrended data sequence that should lie in the pass band of the filter and those that should lie in its stop band. Filters of this nature can be used both for extracting a low-frequency cyclical component of the data and for extracting the seasonal component.

Date: 2018
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DOI: 10.1080/07474938.2015.1033218

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