Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation
نویسندگان
چکیده
منابع مشابه
Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation
This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current practice and research, econometricians, macroeconomists, and policymakers often combine related series tha...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2191272