Summary
An account is given of a variety of linear filters which can be used for extracting trends from economic time series and for generating de-trended series. A family of rational square-wave filters is described which enable designated frequency ranges to be selected or rejected. Their use is advocated in preference to other filters which are commonly used in quantitative economic analysis
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Pollock, S. (2007). Trend Estimation and De-Trending. In: Kontoghiorghes, E.J., Gatu, C. (eds) Optimisation, Econometric and Financial Analysis. Advances in Computational Management Science, vol 9. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-36626-1_8
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DOI: https://doi.org/10.1007/3-540-36626-1_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-36625-6
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