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Classical Moving Average

Source: R/data.R
classical-ma.Rd

Classical moving average for trend-cycle extraction.

Usage

henderson

CLF

CLF_CN

local_param_est

Format

henderson is list() of "moving_average".

CLF is a "finite_filters".

CLF_CN is a "finite_filters".

local_param_est is list() of "finite_filters".

Details

henderson contains the Henderson moving average of length 5, 7, 9, 13 and 23.

CLF contains the Cascade Linear Filter (CLF) of length 13 and the associated Asymmetric Linear Filters (ALF).

CLF_CN contains the Cascade Linear Filter (CLF) of length 13 and the associated cut and normalise asymetric filters.

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. https://doi.org/10.1080/07474930802387837.

Henderson, R. (1916). Note on graduation by adjusted average. Transactions of the actuarial society of America 17: 43‑48.

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. https://doi.org/10.1177/0282423X241283207.