Combining filter design with model-based filtering (with an application to business-cycle estimation)

International Journal of Forecasting

Volumn 21, Issue 4, 2005, Pages 691-710

  Kaiser, Regina ^a   Maravall, Agustín ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b Bank of Spain ^*  (Spain)

Author keywords

ARIMA models; Filtering and smoothing; Hodrick Prescott filter; Time series; Trend and cycle estimation

Indexed keywords

EID: 26944437871     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2005.04.016     Document Type: Article

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