Band Spectral Estimation for Signal Extraction

29 Pages Posted: 14 May 2007

See all articles by Tommaso Proietti

Tommaso Proietti

University of Rome II - Department of Economics and Finance

Date Written: May 2007

Abstract

The paper evaluates the potential of band spectral estimation for extracting signals in economic time series. Two situations are considered. The first deals with trend extraction when the original data have been permanently altered by routine operations, such as prefiltering, temporal aggregation and disaggregation, and seasonal adjustment, which modify the high frequencies properties of economic time series. The second is when the measurement model is only partially specified, in that it aims at fitting the series in a particular frequency range, e.g. at interpreting the long run behaviour. These issues are illustrated with reference to a simple structural model, namely the random walk plus noise model.

Keywords: Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain

JEL Classification: C22, E3

Suggested Citation

Proietti, Tommaso, Band Spectral Estimation for Signal Extraction (May 2007). CEIS Working Paper No. 105. Available at SSRN: https://ssrn.com/abstract=986132 or http://dx.doi.org/10.2139/ssrn.986132

Tommaso Proietti (Contact Author)

University of Rome II - Department of Economics and Finance ( email )

Via Columbia, 2
Rome, 00133
Italy

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