Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
记忆未知的强持久性数据的稳健趋势估计
Economic analysis is often based on pre-filtered, de-trended, or seasonally adjusted data. Underlying filtering methods make strong assumptions about the memory of the series to be filtered, and inference about the memory is limited particularly when persistent cyclical variation overshadows the trend. This paper introduces a data-driven method for filtering persistent series that requires no prior assumptions about the memory, thus is robust to the actual memory of the…