Mend-A Mathematica package for mending time series with missing observations and structural breaks

Schlicht, Ekkehart (3. May 2011): Mend-A Mathematica package for mending time series with missing observations and structural breaks.

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
• 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
• Language: English

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.