Arbeitspapier
Trend Extraction From Time Series With Structural Breaks and Missing Observations
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Munich Discussion Paper ; No. 2008-3
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Computational Techniques; Simulation Modeling
Semiparametric and Nonparametric Methods: General
- Thema
-
dummies
gaps
Hodrick-Prescott filter
interpolation
Leser filter
missing observations
smoothing
spline
structural breaks
time-series
trend
break point
break point location
Trend
Zeitreihenanalyse
Strukturbruch
Statistische Methodenlehre
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schlicht, Ekkehart
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
- (wo)
-
München
- (wann)
-
2008
- DOI
-
doi:10.5282/ubm/epub.2127
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-2127-6
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Schlicht, Ekkehart
- Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
Entstanden
- 2008