School of Economics and Finance

No. 433: Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem

Stephen Pollock , Queen Mary, University of London

February 1, 2001

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In this paper, we portray the essential features of the finite-sample signal extraction problem in both the stationary and the nonstationary cases. The computational procedures can be simplified in the light of our analysis. An important outcome of the analysis is a demonstration that the start-up problem can be handled far more easily that one might expect from a passing acquaintance with the usual practices.

J.E.L classification codes: C22

Keywords:Signal extraction, Linear filtering, Trend estimation