The paper evaluates the potential of band spectral estimation for extracting signals in economic time series. Two situations are considered. The first deals with trend extraction when the original data have been permanently altered by routine operations, such as prefiltering, temporal aggregation and disaggregation, and seasonal adjustment, which modify the high frequencies properties of economic time series. The second is when the measurement model is only partially specified, in that it aims at fitting the series in a particular frequency range, e.g. at interpreting the long run behaviour. These issues are illustrated with reference to a simple structural model, namely the random walk plus noise model.

Proietti, T. (2007). Band spectral estimation for signal extraction.

Band spectral estimation for signal extraction

PROIETTI, TOMMASO
2007-05-01

Abstract

The paper evaluates the potential of band spectral estimation for extracting signals in economic time series. Two situations are considered. The first deals with trend extraction when the original data have been permanently altered by routine operations, such as prefiltering, temporal aggregation and disaggregation, and seasonal adjustment, which modify the high frequencies properties of economic time series. The second is when the measurement model is only partially specified, in that it aims at fitting the series in a particular frequency range, e.g. at interpreting the long run behaviour. These issues are illustrated with reference to a simple structural model, namely the random walk plus noise model.
Settore SECS-P/05 - Econometria
en
temporal aggregation
seasonal adjustment
trend component
frequency domain
Proietti, T. (2007). Band spectral estimation for signal extraction.
Proietti, T
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/338
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