Artikel
Filters, waves and spectra
Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its emphasis in the frequency domain; and it shows how the frequency-domain methods can be adapted to cater to short trended sequences. Working in the frequency domain allows an unrestricted choice to be made of the frequency response of a filter. It also requires that the data should be free of trends. Methods for extracting the trends prior to filtering and for restoring them thereafter are described.
- Language
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Englisch
- Bibliographic citation
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 6 ; Year: 2018 ; Issue: 3 ; Pages: 1-33 ; Basel: MDPI
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
-
time series
Fourier analysis
sampling
filtering
- Event
-
Geistige Schöpfung
- (who)
-
Pollock, D. Stephen G.
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2018
- DOI
-
doi:10.3390/econometrics6030035
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Pollock, D. Stephen G.
- MDPI
Time of origin
- 2018
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