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Schlicht, Ekkehart ORCID logoORCID: https://orcid.org/0000-0001-8227-5451 (May 2007): Trend Extraction From Time Series With Missing Observations. Discussion Papers in Economics 2007-18 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 [PDF, 835kB]


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.

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