U.S. Department of Commerce

Research Reports

You are here: Census.gov › Subjects A to Z › Research Reports Sorted by Year › Abstract of RRS2006/13
Skip top of page navigation

Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-pass and Band-pass Filtering

Tucker McElroy and Thomas Trimbur

KEY WORDS: signal extraction, continuous time processes, linear filtering, Hodrick-Prescott Filter, Band-Pass Filter

ABSTRACT

This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observation.

We rigorously derive the optimal continuous-lag filter when the signal component is nonstationary, and provide several illustrations, including a new class of continuous-lag Butterworth filters for trend and cycle estimation.

CITATION:

Source: U.S. Census Bureau, Statistical Research Division

Created: November 16, 2006
Last revised: November 16, 2006


[PDF] or PDF denotes a file in Adobe’s Portable Document Format. To view the file, you will need the Adobe® Reader® Off Site available free from Adobe.

This symbol Off Site indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.

Source: U.S. Census Bureau | Statistical Research Division | (301) 763-3215 (or chad.eric.russell@census.gov) |   Last Revised: October 08, 2010