This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics.
Continuous-time modeling gives an effective strategy for treating stock and flow data,
irregularly spaced data, and changing frequency of observation.
We rigorously derive the optimal continuous-lag filter when the signal component is nonstationary,
and provide several illustrations, including a new class of continuous-lag Butterworth filters
for trend and cycle estimation.
signal extraction, continuous time processes, linear filtering, Hodrick-Prescott Filter, Band-Pass Filter
[PDF] or 
denotes a file in Adobe’s Portable Document Format.
To view the file, you will need the
Adobe® Acrobat® Reader
available free from Adobe.
This symbol
indicates a link to a non-government web site. Our linking to these sites does not
constitute an endorsement of any products, services or the information found on them.
Once you link to another site you are subject to the policies of the new site.
