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 some data points are missing. This note proposes a method for coping with this problem.
Item Type: | Paper |
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Keywords: | Trend extraction, missing observations, gaps, 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-1927-0 |
Language: | English |
Item ID: | 1927 |
Date Deposited: | 22. May 2007 |
Last Modified: | 08. Nov 2020, 11:12 |