Next Article in Journal
The Relation between Monetary Policy and the Stock Market in Europe
Previous Article in Journal
Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics
Previous Article in Special Issue
Some Results on 1 Polynomial Trend Filtering
Article Menu

Export Article

Open AccessArticle
Econometrics 2018, 6(3), 35; https://doi.org/10.3390/econometrics6030035

Filters, Waves and Spectra

Department of Economics, University of Leciceter, Leicester LE1 7RH, UK
Received: 17 March 2018 / Revised: 15 July 2018 / Accepted: 17 July 2018 / Published: 27 July 2018
(This article belongs to the Special Issue Filtering)
Full-Text   |   PDF [431 KB, uploaded 31 July 2018]   |  

Abstract

Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its emphasis in the frequency domain; and it shows how the frequency-domain methods can be adapted to cater to short trended sequences. Working in the frequency domain allows an unrestricted choice to be made of the frequency response of a filter. It also requires that the data should be free of trends. Methods for extracting the trends prior to filtering and for restoring them thereafter are described. View Full-Text
Keywords: time series; Fourier analysis; sampling; filtering time series; Fourier analysis; sampling; filtering
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Pollock, D.S.G. Filters, Waves and Spectra. Econometrics 2018, 6, 35.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top