Trend Extraction From Time Series With Structural Breaks and Missing Observations

Schlicht, Ekkehart (25. February 2008): Trend Extraction From Time Series With Structural Breaks and Missing Observations. Discussion Papers in Economics 2008-3 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. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance), or if some data are missing. This note proposes a method for coping with these problems.

• Item Type: Paper
• Form of publication: Postprint
• 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 > 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
• Language: English

References

Leser, C.E.V.(1961), "A Simple Method of Trend Construction," Journal of the Royal Statistical Society. Series B (Methodological), 23, 91-107.

Ludsteck, J.(2004), HPFilter, Mathematica package, Wolfram Research, http://library.wolfram.com/infocenter/MathSource/5161/.

Schlicht, E.(1981), "A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived from This Principle," Journal of the American Statistical Association}, 76, 374-78, http://www.semverteilung.vwl.uni-muenchen.de/mitarbeiter/es/paper/schlicht-seasonal adjustment.pdf

Schlicht, E.(2005), "Estimating the Smoothing Constant in the So-Called Hodrick-Prescott Filter," Journal of the Japan Statistical Society, 35, 1-19, http://www.scipress.org/journals/jjss/pdf/3501/35010099.pdf.