Removal of short-run dynamics from a stationary time series to isolate the medium to long-run component, can be obtained by a band-pass filter. However, band pass filters are infinite moving averages and can therefore deteriorate at the end of the sample. This is a well-known result in the literature isolating the business cycle in integrated series. We show that the same problem arises with our application to stationary time series. In this paper we develop a method to obtain smoothing of a stationary time series by using only contemporaneous values of a large dataset, so that no end-of-sample deterioration occurs.
Altissimo, F., R., Cristadoro, M., Forni, M., Lippi e G., Veronese. "New Eurocoin: tracking economic growth in real time" Working paper, RECENT WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi – Università di Modena e Reggio Emilia, 2008.
New Eurocoin: tracking economic growth in real time
Forni, M.;
2008
Abstract
Removal of short-run dynamics from a stationary time series to isolate the medium to long-run component, can be obtained by a band-pass filter. However, band pass filters are infinite moving averages and can therefore deteriorate at the end of the sample. This is a well-known result in the literature isolating the business cycle in integrated series. We show that the same problem arises with our application to stationary time series. In this paper we develop a method to obtain smoothing of a stationary time series by using only contemporaneous values of a large dataset, so that no end-of-sample deterioration occurs.File | Dimensione | Formato | |
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