Arbeitspapier
Trend Extraction From Time Series With Structural Breaks
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Munich Discussion Paper ; No. 2007-17
- 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
-
Trend extraction
structural break
Hodrick-Prescott filter
Leser filter
spline
time-series
smoothing
interpolation.
Trend
Zeitreihenanalyse
Statistische Methodenlehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schlicht, Ekkehart
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
- (wo)
-
München
- (wann)
-
2007
- DOI
-
doi:10.5282/ubm/epub.1926
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1926-4
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schlicht, Ekkehart
- Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
Entstanden
- 2007
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