Finance and Economics Discussion Series: Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation

by Tucker S. McElroy

This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Previous literature has considered only univariate or stationary models. However, in current practice and research, econometricians, macroeconomists, and policy-makers often combine related series - that may have stochastic trends--to attain more informed...

• Format: Paperback
• Language: English
• ISBN: 1288699301
• ISBN13: 9781288699308
• Release Date: February 2013
• Publisher: Bibliogov
• Length: 48 Pages
• Weight: 0.23 lbs.
• Dimensions: 0.1" x 7.4" x 9.7"