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The spectral envelope : an application to the decoupling problem in economics

Nachane, Dilip M.; Dubey, Amlendu Kumar - In: Journal of quantitative economics 19 (2021), pp. 287-308

Persistent link: https://www.econbiz.de/10013441726

Performance comparison of modified HP filter, wavelet analysis, and empirical mode decomposition for smoothing macroeconomic time series

Iqbal, Javed; Hanif, Muhammad Nadim - 2017

Persistent link: https://www.econbiz.de/10011623347

What are the differences in trend cycle decompositions by Beveridge and Nelson and by unobserved component models?

Iwata, Shigeru; Li, Han - In: Econometric reviews 34 (2015) 1/5, pp. 146-173

Persistent link: https://www.econbiz.de/10011373299

Trend and cyclical decoupling : new estimates based on spectral causality tests and wavelet correlations

Nachane, Dilip M.; Dubey, Amlendu Kumar - In: Applied economics 45 (2013) 31/33, pp. 4419-4428

Persistent link: https://www.econbiz.de/10010223399

The trend-cycle decomposition of output and the Phillips curve : Bayesian estimates for Italy and the Euro area

Busetti, Fabio; Caivano, Michele - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1565-1587

Persistent link: https://www.econbiz.de/10011481732

Trend inflation estimates for Thailand from disaggregated data

Pym Manopimoke; Vorada Limjaroenrat - In: Economic modelling 65 (2017), pp. 75-94

Persistent link: https://www.econbiz.de/10011813600

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10011350381

Estimating the trend in US real GDP using the l1 trend filtering

Yamada, Hiroshi - In: Applied economics letters 24 (2017) 10/12, pp. 713-716

Persistent link: https://www.econbiz.de/10011714160

Estimation of the potential GDP by a new robust filter method

Gyurkovics, Éva; Takács, Tibor - In: Central European journal of operations research 31 (2023) 4, pp. 1183-1207

Persistent link: https://www.econbiz.de/10014393025

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Barunik, Jozef; Vácha, Lukáš - 2014

-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized … variation estimators. We use different simulation settings with changing noise as well as jump level in different price …

Persistent link: https://www.econbiz.de/10010407510

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