Datasets containing coefficients of classical moving averages used for trend-cycle extraction.
Format
henderson is a list of objects of class "moving_average".
CLF is an object of class "finite_filters".
CLF_CN is an object of class "finite_filters".
local_param_est is a nested list of objects of class "finite_filters".
The first level corresponds to the length of the filter;
the second level corresponds to the degree of the local polynomial model used for the trend-cycle;
and the third level corresponds to the target component (1 for bias, 2 for slope, and 3 for curvature).
Details
henderson: Henderson moving averages of lengths 5, 7, 9, 13, and 23.CLF: Cascade Linear Filter (CLF) of length 13 and associated Asymmetric Linear Filters (ALF).CLF_CN: Cascade Linear Filter (CLF) of length 13 and associated cut-and-normalize asymmetric filters.local_param_est: Moving averages used to locally estimate the bias, slope, or curvature associated with trend-cycle estimation (via local polynomial approximation).
References
Dagum, E. B., & Luati, A. (2008). A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation. Econometric Reviews, 28(1-3), 40–59. doi:10.1080/07474930802387837
Henderson, R. (1916). Note on graduation by adjusted average. Transactions of the Actuarial Society of America, 17, 43–48.
Musgrave, J. (1964). A Set of End Weights to End All End Weights. US Census Bureau [Custodian]. https://www.census.gov/library/working-papers/1964/adrm/musgrave-01.html
Quartier-la-Tente, A. (2024). Improving Real-Time Trend Estimates Using Local Parametrization of Polynomial Regression Filters. Journal of Official Statistics, 40(4), 685–715. doi:10.1177/0282423X241283207