This paper tackles the issue of economic time series modeling from a joint time and frequency domain standpoint, with the objective of estimating the latent trend-cycle component. This is accomplished through a matrix operator with sinc funtions as entries, mirroring the ideal low-pass filter impulse response. The paper is completed by applying this filter to quarterly data from Italian industrial production.
Faliva, M., Zoia, M., Barbieri, L., Band-limited component estimation in time-limited economic series, <<JOURNAL OF APPLIED STATISTICS>>, 2013; 40 (9): 2009-2023. [doi:10.1080/02664763.2013.801408] [http://hdl.handle.net/10807/44148]
Band-limited component estimation in time-limited economic series
Faliva, Mario;Zoia, Maria;Barbieri, Laura
2013
Abstract
This paper tackles the issue of economic time series modeling from a joint time and frequency domain standpoint, with the objective of estimating the latent trend-cycle component. This is accomplished through a matrix operator with sinc funtions as entries, mirroring the ideal low-pass filter impulse response. The paper is completed by applying this filter to quarterly data from Italian industrial production.
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