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SELECTED PAPERS ON SIGNAL EXTRACTION AND FILTERING
Seminar Slides MALLORCA17: Processes in Discrete and Continuous Time
Seminar Slides BRISTOL15: Trends Cycles and Seasons
Seminar Slides ERCIM 14, PISA: Econometric Flters and Structural Change
Seminar Slides LEICESTER: Wavelets and Structural Change
Seminar Text LEICESTER: The Framework of a Dyadic Wavelets Analysis
Seminar Slides USA: Oversampling of Stochastic Processes
Seminar Slides LODZ: Band Limited Processed in Discrete and Continuous Time
Seminar Slides WARSAW: Alternative Methods of Seasonal Adjustment
Seminar Slides LEICESTER: Spurious Cycles in Macroeconomic Data
Seminar Slides ERCIM10: Statistical Signal Extraction and Filtering
Trends Cycles and Seasons: Econometric Methods of Signal Extraction.
Statistical Signal Extraction: A Partial
Survey, in E. Kontoghiorges and D.E. Belsley (eds.) Handbook of
Empirical Econometrics, John Wiley and Sons,
Chichester, 2009.
Realisations of Finite-sample
Frequency-selective Filters, Journal of Statistical Planning and
Inference, 2009, 139, 1541--1558, 2009.
IDEOLOG: A Program for Filtering Econometric
Data---A Synopsis of Alternative Methods, QASS: Quantitative and
Qualitative Analysis in Social Sciences, 2009, Vol 3. Issue 1.
With
Iolanda Lo Cascio, Iolanda, Comparative Economic Cycles, QASS:
Quantitative and Qualitative Analysis in Social Sciences, 2009, Vol 2.
Issue 3, 1--34.
Investigating Economic Trends and Cycles, in
T.C. Mills and K. Patterson (eds.), Palgrave Handbook of Econometrics:
Vol. 2 Applied Econometrics, 2008.
Filters
for Short Nonstationary Sequences: The Analysis of the Business Cycle,
in P. Brito (ed.) COMPSTAT 2008: Proceedings in Computational
Statistics, reprinted ReVStat--Statistical Journal, 7, Nº.1, April 2009.
Statistical
Fourier Analysis: Clarifications and Interpretations, Journal of Time
Series Econometrics, 2008, Vol. 1, Iss. 1, Article 1. 1--47
Consumption and Income, A
Spectral Analysis, pps. 223--253 in B. Schipp, W. Krämer (eds.),
Statistical Inference, Econometric Analysis and Matrix Algebra:
Festschrift in Honour of Götz Trenkler, Physica-Verlag Heidelberg, 2008.
Trend Estimation and Detending, in Optimisation,
Econometric and Financial Analysis: Advances in Computational
Management Science, Vol. 9, Kontoghiorghes, Erricos J. and Gatu,
Cristian (Eds.), Springer Verlag, 2007.
Non-Dyadic
Wavelet Analysis, with Iolanda Lo Cascio, Optimisation, Econometric and
Financial Analysis: Advances in Computational Management Science, Vol.
9, Kontoghiorghes, Erricos J. and Gatu, Cristian (eds.), Springer
Verlag. 2007.
Wiener--Kolmogorov Filtering, Frequency-Selective Filtering and Polynomial Regression, Econometric Theory, 2007, 23, 71--88.
Introduction
to the Special Issue on Statistical Signal Extraction and Filtering,
Computational Statistics and Data Analysis, 2006, 50, 2137--2145.
Econometric Methods of Signal Extraction, Computational Statistics and Data Analysis, 2006, 50, 2268--2292.
Recursive Estimation in Econometrics, Journal of Computational Statistics and Data Analysis, 2003, 44, 37--75.
Improved Frequency-Selective Filters, Journal of Computational Statistics and Data Analysis, 2003, 42, 279--297.
Sharp Filters for Short Sequences, Journal of Statistical Inference and Planning, 2003, 113, 663--683.
A Review of TSW: The Windows Version of the SEATS-TRAMO Program, Applied Econometrics, 2002, 17, 291--299.
Trend Estimation and Detrending via Rational Square Wave Filters, Journal of Econometrics, 2000, 99, 317--334.
Circulant
Matrices and Time-Series Analysis, The International Journal of
Mathematical Education in Science and Technology, 2002, 33, 213--230.
Filters for Short Nonstationary Sequences, Journal of Forecasting, 2001, 20, 341--355.
Methodology for Trend Estimation, Economic Modelling, 2001, 18, 75--96.