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Methodology for trend estimation
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DOI：10.1016/S0264-9993(00)00028-6.png)
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Abstract
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This paper describes a methodology for trend estimation which relies upon the finite-sample implementation of the classical Wiener-Kolmogorov theory of signal extraction in which provisions are made for dealing with a non-stationary signal component. It is argued that de-trending filters should be selected primarily on the basis of their frequency-response characteristics. (C) 2001 Elsevier Science B.V. All rights reserved. JEL classification: C22.
Keywords:
signal extraction
linear filtering
frequency-domain analysis
trend estimation
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