ORCID: https://orcid.org/0000-0001-8227-5451
(3. May 2011):
Mend-A Mathematica package for mending time series with missing observations and structural breaks.
[ZIP, 83kB]
Abstract
The package implements a method for mending time series with missing observations and structural breaks. The method is described in Ekkehart Schlicht: "Trend Extraction from Time Series with Structural Breaks and Missing Observations", Journal of the Japan Statistical Society Vol. 38 (2008), No. 2, pages 285-292, freely available at https://www.jstage.jst.go.jp/article/jjss/38/2/38_2_285/_pdf
Item Type: | Software |
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Keywords: | dummies, gaps, Hodrick-Prescott filter, interpolation, Leser filter, missing observations, smoothing, spline, structural breaks, time-series, trend, break point, break point location |
Faculties: | Economics Economics > Chairs > Chair of Institutional Economics (closed) |
Subjects: | 300 Social sciences > 330 Economics |
URN: | urn:nbn:de:bvb:19-epub-12227-5 |
Language: | English |
Item ID: | 12227 |
Date Deposited: | 03. May 2011, 18:12 |
Last Modified: | 18. Feb 2021, 14:59 |
References: | Ludsteck, Johannes (2005).: "HPFilter, a Mathematica Package", freely available at http://library.wolfram.com/infocenter/MathSource/5161/ Schlicht, Ekkehart (2005): "Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter", Journal of the Japan Statistical Society Vol. 35 (2005), No. 1, pages 99-119, freely available at http://www.scipress.org/journals/jjss/pdf/3501/35010099.pdf Schlicht, Ekkehart (2008): "Trend Extraction from Time Series with Structural Breaks and Missing Observations", Journal of the Japan Statistical Society Vol. 38 (2008), No. 2, pages 285-292, freely available at http://www.jstage.jst.go.jp/article/jjss/38/2/285/_pdf. |