A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

3 Pages Posted: 28 Mar 2008 Last revised: 14 Jun 2008

See all articles by Dimitrios D. Thomakos

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics

Date Written: March 28, 2008

Abstract

In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum Analysis (SSA) and here I also derive an SSA-based consistent estimator of the drift parameter.

Keywords: drift, linear filtering, singular spectrum analysis, smoothing, trend extraction and prediction, unit root

JEL Classification: C13, C14, C22, C32, C53

Suggested Citation

Thomakos, Dimitrios D., A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift (March 28, 2008). Available at SSRN: https://ssrn.com/abstract=1113961 or http://dx.doi.org/10.2139/ssrn.1113961

Dimitrios D. Thomakos (Contact Author)

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

HOME PAGE: http://es.uop.gr/

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