Arbeitspapier
Infrequent Permanent Shoks and Signal Extraction in Macroeconomic Time Series
A procedure based on density estimation is suggested in the paper to discriminate trend stationary processes about local linear time trends from difference stationary processes. A 'rule of thumb' is constructed to detect the suitability of a segmented trend representation, and a regression analysis is used to identify the number and the dates of structural breaks. The U.S. series of nominal wages over the period 1900-1970 is analysed according to the assumption the dynamics are driven by exogenous shocks which occur infrequently. In a multivariate domain, implications of segmented trend modeling for cointegration theory are also briefly considered.
- Language
-
Englisch
- Bibliographic citation
-
Series: Quaderni - Working Paper DSE ; No. 141
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Bianchi, Marco
- Event
-
Veröffentlichung
- (who)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (where)
-
Bologna
- (when)
-
1992
- DOI
-
doi:10.6092/unibo/amsacta/5219
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bianchi, Marco
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Time of origin
- 1992
Other Objects (12)
Forecasting macroeconomic time series with locally adaptive signal extraction
Robust online signal extraction from multivariate time series
Robust online signal extraction from multivariate time series
Clustering Macroeconomic Time Series
Clustering Macroeconomic Time Series
Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution
Robust detail-preserving signal extraction
Robust detail-preserving signal extraction
Econometric methods of signal extraction
Online Signal Extraction by Robust Linear Regression
On some remarks about SEATS signal extraction
Online signal extraction by robust linear regression
Forecasting macroeconomic time series with locally adaptive signal extraction
Robust online signal extraction from multivariate time series
Robust online signal extraction from multivariate time series
Clustering Macroeconomic Time Series
Clustering Macroeconomic Time Series
Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution
Robust detail-preserving signal extraction
Robust detail-preserving signal extraction
Econometric methods of signal extraction
Online Signal Extraction by Robust Linear Regression
On some remarks about SEATS signal extraction
Online signal extraction by robust linear regression
Forecasting macroeconomic time series with locally adaptive signal extraction
Robust online signal extraction from multivariate time series
Robust online signal extraction from multivariate time series
Clustering Macroeconomic Time Series
Clustering Macroeconomic Time Series
Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution
Robust detail-preserving signal extraction
Robust detail-preserving signal extraction
Econometric methods of signal extraction
Online Signal Extraction by Robust Linear Regression
On some remarks about SEATS signal extraction