School of Economics and Finance

No. 423: Filters for Short Nonstationary Sequences

Stephen Pollock , Queen Mary, University of London

October 1, 2000

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This paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and nonstationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient.

J.E.L classification codes: C22

Keywords:Signal extraction, Linear Filtering, Frequency-domain analysis, Trend estimation