New Eurocoin: tracking economic growth in real time

Removal of short-run dynamics from a stationary time series to isolate the medium to
long-run component, can be obtained by a band-pass filter. However, band pass filters are
infinite moving averages and can therefore deteriorate at the end of the sample. This is
a well-known result in the literature isolating the business cycle in integrated series. We
show that the same problem arises with our application to stationary time series. In this
paper we develop a method to obtain smoothing of a stationary time series by using only
contemporaneous values of a large dataset, so that no end-of-sample deterioration occurs.