A simple nonlinear filter for economic time series analysis

Authors
Wen, Y Zeng, B
Citation
Y. Wen et B. Zeng, A simple nonlinear filter for economic time series analysis, ECON LETT, 64(2), 1999, pp. 151-160
Citations number
8
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
64
Issue
2
Year of publication
1999
Pages
151 - 160
Database
ISI
SICI code
0165-1765(199908)64:2<151:ASNFFE>2.0.ZU;2-U
Abstract
In applied macroeconomics, especially business cycle studies, the most comm only used filters for removing time trend and noise are Linear filters. In this paper we introduce a class of nonlinear filters that has been recently proven very powerful for removing time trend and noise in signal processin g. Interesting applications to economics are carried out in an example of f orecasting post-war US recessions. (C) 1999 Elsevier Science S.A. All right s reserved.