Econometric methods of signal extraction

The econometric methods of signal extraction that are based on linear filters have attained a high level of sophistication. They have now coalesced into two distinct categories. In the first category are the methods that are favoured by the central statistical agencies of many of the OECD counties. These were developed in the North American agencies, notably in Statistics Canada (Dagum 1980) and in the U.S. Bureau of the Census (Findley et al. 1998), and they have been supported and refined in other agencies throughout Europe and in the Antipodes. The methods are based upon a variety of moving-average smoothing filters, and they are used, principally, in trend extraction and in deseasonalising data series. Considerable efforts have been devoted to dealing with the end effects that can arise when such filters are applied to short non-stationary sequences. The success of the methods of the central statistical agencies has entailed a widespread acceptance of a set of common conventions and definitions. Thus, it is commonly agreed that a deseasonalised data series can be fairly and simply defined as the product of the relevant methods of the central statistical office. However, the acceptance of such conventions, whilst necessary to ensure comparability of statistics across nations, inhibits scientific innovation and discovery. Therefore, academic interest has been focused mainly on the so-called model-based procedures, which constitute the second category of econometric signal-extraction methodology.