Band Spectral Estimation for Signal Extraction

Proietti Tommaso
CEIS Research Paper
The paper evaluates the potential of band spectral estimation for extracting signals in economic time series. Two situations are considered. The first deals with trend extraction when the original data have been permanently altered by routine operations, such as prefiltering, temporal aggregation and disaggregation, and seasonal adjustment, which modify the high frequencies properties of economic time series. The second is when the measurement model is only partially specified, in that it aims at fitting the series in a particular frequency range, e.g. at interpreting the long run behaviour. These issues are illustrated with reference to a simple structural model, namely the random walk plus noise model.
Number: 104
Keywords: Temporal Aggregation, Seasonal Adjustment, Trend Component, Frequency Domain.
JEL codes: C22, E3
Date: Monday, May 21, 2007
Revision Date: Monday, May 21, 2007