A NEW SET OF ASYMMETRIC FILTERS FOR TRACKING THE SHORT-TERM TREND IN REAL-TIME

For assessing in real time the short-term trend of major economic indicators, official statistical agencies generally rely on asymmetric filters that were developed by Musgrave in 1964. However, the use of the latter introduces revisions as new observations are added to the series and, from a policy...

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Veröffentlicht in:	The annals of applied statistics 2015-09, Vol.9 (3), p.1433-1458
Hauptverfasser:	Dagum, Estela Bee, Bianconcini, Silvia
Format:	Artikel
Sprache:	eng
Schlagworte:	Musgrave filters Recession and recovery analysis reproducing kernels seasonally adjusted data time-varying bandwidth selection US economy
Online-Zugang:	Volltext
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