Filters for Short Nonstationary Sequences

David Pollock ()

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: This paper describes a methodology for implementing bidirectional/break frequency-selective filters in cases where the data sequence is short and nonstationary. A sime method is proposed for dealing with start-up problem. The method has a firm theoretical basis and it is computationally efficient.

Keywords: TIME SERIES; ESTIMATOR; ECONOMETRICS; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2000
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Citations: View citations in EconPapers (4)

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Journal Article: Filters for Short Non-stationary Sequences (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:00a04

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