Finance and Economics Discussion Series: Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation

by Tucker S. McElroy

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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 policy-makers often combine related series - that may have stochastic trends--to attain more informed...

Format:Paperback

Language:English

ISBN:1288699301

ISBN13:9781288699308

Release Date:February 2013

Publisher:Bibliogov

Length:48 Pages

Weight:0.23 lbs.

Dimensions:0.1" x 7.4" x 9.7"

Related Subjects

Political Science Politics & Social Sciences

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Finance and Economics Discussion Series: Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation

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