A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

Dimitrios Thomakos

No 25, Working Papers from University of Peloponnese, Department of Economics

Abstract: In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum Analysis (SSA) and here I also derive an SSA-based consistent estimator of the drift parameter.

Keywords: drift; forecasting; linear filtering; singular spectrum analysis; smoothing; trend extraction and prediction; unit root. (search for similar items in EconPapers)
Pages: 3 pages
Date: 2008
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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