Trend Extraction From Time Series With Structural Breaks

Schlicht, Ekkehart (Mai 2007): Trend Extraction From Time Series With Structural Breaks. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 2007-17 Final version in Journal of the Japan Statistical Society 2009, 38(2), 285-92. http://www.jstage.jst.go.jp/article/jjss/38/2/285/_pdf

Abstract

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for instance). This note proposes a method for coping with this problem.

• Dokumententyp: Paper
• Keywords: Trend extraction, structural break, Hodrick-Prescott filter, Leser filter, spline, time-series, smoothing, interpolation.
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Munich Discussion Papers in Economics ; Volkswirtschaft > Munich Discussion Papers in Economics > Statistische Methoden ; Volkswirtschaft > Lehrstühle > Seminar für Theorie und Politik der Einkommensverteilung (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: C22, C32, C63, C14
• Sprache: Englisch