| Schlicht, Ekkehart (May 2007): Trend Extraction From Time Series With Structural Breaks. Discussion Papers in Economics 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 |
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421kB |
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.
| Item Type: | Paper (Discussion Paper) |
|---|---|
| Published in: | 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 |
| Keywords: | Trend extraction, structural break, Hodrick-Prescott filter, Leser filter, spline, time-series, smoothing, interpolation. |
| Faculties: | Economics Economics > Munich Discussion Papers in Economics Economics > Munich Discussion Papers in Economics > Statistical Methods Economics > Chairs > Chair of Institutional Economics (closed) |
| Subjects: | 300 Social sciences > 300 Social sciences, sociology and anthropology 300 Social sciences > 330 Economics |
| JEL Classification: | C22, C32, C63, C14 |
| URN: | urn:nbn:de:bvb:19-epub-1926-4 |
| Language: | English |
| ID Code: | 1926 |
| Deposited On: | 22. May 2007 |
| Last Modified: | 29. Apr 2016 20:46 |
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