17 citations · 18 across the 2 of their papers we have counts for
3 papers
econ.EM2023
Band-Pass Filtering with High-Dimensional Time Series
Alessandro Giovannelli, Marco Lippi, Tommaso Proietti
The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic…
stat.AP2009★ 17 cited
Real time estimation in local polynomial regression, with application to trend-cycle analysis
Tommaso Proietti, Alessandra Luati
The paper focuses on the adaptation of local polynomial filters at the end of the sample period. We show that for real time estimation of signals (i.e., exactly at the boundary of…
math.ST2008★ 1 cited
On the Spectral Properties of Matrices Associated with Trend Filters
Alessandra Luati, Tommaso Proietti
This paper is concerned with the spectral properties of matrices associated with linear filters for the estimation of the underlying trend of a time series. The interest lies in th…