Resumo

This working paper proposes a new, practical method to compute the non-linear Mosheiov-Raveh (MR) filter using least absolute deviations (LAD) instead of the linear programming approach proposed by these two authors. This paper is embodied with an implementation in the R programming language of the proposed method which facilitates the computation of the MR filter in current applications to produce a robust estimate, namely, of the GDP trend growth. This technique may be appropriate to deal with non linear time series or structural changes.
Idioma originalEnglish
Número de páginas17
Estado da publicaçãoPublished - 21 fev 2022

Impressão digital

Mergulhe nos tópicos de investigação de “Robust filtering with quantile regression“. Em conjunto formam uma impressão digital única.

Citação