Trend Extraction From Time Series With Structural Breaks

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Munich Discussion Paper ; No. 2007-17

Classification and Topics

• Classification: 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
• Subject: Trend extraction ; structural break ; Hodrick-Prescott filter ; Leser filter ; spline ; time-series ; smoothing ; interpolation. ; Trend ; Zeitreihenanalyse ; Statistische Methodenlehre

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schlicht, Ekkehart
• Event: Veröffentlichung
• (who): Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
• (where): München
• (when): 2007

Further information

• DOI: doi:10.5282/ubm/epub.1926
• Handle: http://hdl.handle.net/10419/104224
• URN: urn:nbn:de:bvb:19-epub-1926-4
• Last update: 10.03.2025, 11:41 AM CET