Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass by McElroy, Tucker S.

Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass (Paperback) (ISBN-13: 9781288708277)

Vendor: Tucker S. McElroy
Product type: Books
Format: Paperback
$15.75
$15.75
$15.75
Subtotal: $15.75
Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass by McElroy, Tucker S.

Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass

$15.75
Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass by McElroy, Tucker S.

Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass

$15.75
Format: Paperback
Description
Description
x
This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observation. We rigorously derive the optimal continuous-lag filter when the signal component is nonstationary, and provide several illustrations, including a new class of continuous-lag Butterworth filters for trend and cycle estimation.

Author: Tucker S. McElroy, Thomas M. Trimbur
ISBN-10: 1288708270
ISBN-13: 9781288708277
Publisher: Bibliogov
Language: English
Published: 02/05/2013
Pages: 38
Format: Paperback
Weight: 0.19lbs
Size: 9.69h x 7.44w x 0.08d

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