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Filtering for Current Analysis

Simon van Norden ()

Staff Working Papers from Bank of Canada

Keywords: Econometric and statistical methods; Potential output (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 44 pages Abstract: This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles. These techniques give estimates that are "optimal" given the available data, so their standard errors represent a lower bound on what can be achieved with other univariate techniques. Applications to the problems of estimating current trend productivity growth, core inflation, and output gaps are considered.
Date: 2002
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:02-28

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