Wiener-Kolmogorov filtering, frequency-selective filtering, and polynomial regression

Econometric Theory

Volumn 23, Issue 1, 2007, Pages 71-88

  Pollock, D S G ^a,b  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33947412341     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S026646660707003X     Document Type: Article

References (11)

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3. Baxter, M. & R.G. King (1999) Measuring business cycles: Approximate band-pass filters for economic time series. Review of Economics and Statistics 81, 575-593.
4. Bolch, B.W. & C.J. Huang (1974) Multivariate Statistical Methods for Business and Economics. Prentice-Hall.
5. Christiano, L.J. & T..T. Fitzgerald (2003) The band-pass filter. International Economic Review 44, 435-465.
6. Gray, R.M. (2002) Toeplitz and Circulant Matrices: A Review. Information Systems Laboratory, Department of Electrical Engineering, Stanford University, California (http://ee.stanford.edu/gray/~toeplitz.pdf).
7. Grenander, U. & M. Rosenblatt (1957) Statistical Analysis of Stationary Time. Series. Wiley.
8. Pollock, D.S.G. (1999) A Handbook of Time-Series Analysis, Signal Processing and Dynamics. Academic Press.
9. Pollock, D.S.G. (2000) Trend estimation and de-trending via rational square wave filters. Journal of Econometrics 99, 317-334.
10. Pollock, D.S.G. (2002) Circulant matrices and time-series analysis. International Journal of Mathematical Education in Science and Technology 33, 213-230.
11. Whittle, P. (1983) Prediction and Regulation by Linear Least-Square Methods, 2nd rev. ed. Basil Blackwell.