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Author : Emi Mise
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (535 download)
Download or read book The Hodrick-Prescott Filter at Time Series Endpoints written by Emi Mise and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Timothy Cogley
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (933 download)
Download or read book Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series written by Timothy Cogley and published by . This book was released on 1992 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gebhard Flaig
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (794 download)
Download or read book Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter written by Gebhard Flaig and published by . This book was released on 2012 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (849 download)
Download or read book Time Aggregation and the Hodrick-Prescott Filter written by Agustín Maravall and published by . This book was released on 2001 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Graupe
Publisher :
ISBN 13 :
Total Pages : 430 pages
Book Rating : 4.:/5 (44 download)
Download or read book Time Series Analysis, Identification and Adaptive Filtering written by Daniel Graupe and published by . This book was released on 1984 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Agustín Maravall
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (212 download)
Download or read book Temporal Aggregation, Systematic Sampling, and the Hodrick-Prescott Filter written by Agustín Maravall and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Torben Mark Pedersen
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (246 download)
Download or read book The Hodrick-Prescott Filter, the Slutzky Effect of Filters written by Torben Mark Pedersen and published by . This book was released on 1998 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christoph Schleicher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Kolmogorov-Wiener Filters for Finite Time Series written by Christoph Schleicher and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a framework of how to optimally implement linear filters for finite time series. The filters under consideration have the property that they minimize the mean squared error compared to some ideal hypothetical filter. It is shown in examples that three commonly used filters, the bandpass filter, the Hodrick-Prescott filter and the digital Butterworth filter need to be adjusted when applied to finite samples of serially correlated or integrated data. An empricial example indicates that the proposed optimal filters improve the end-of-sample performance of standard filters when applied to U.S. GDP data.
Author :
Publisher :
ISBN 13 : 9789187925573
Total Pages : 17 pages
Book Rating : 4.9/5 (255 download)
Download or read book The Hodrick-Prescott Filter written by and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tommaso Proietti
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates written by Tommaso Proietti and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper explores and illustrates some of the typical trade-offs which arise in designing filters for the measurement of trends and cycles in economic time series, focusing, in particular, on the fundamental trade-off between the reliability of the estimates and the magnitude of the revisions as new observations become available. This assessment is available through a novel model based approach, according to which an important class of highpass and bandpass filters, encompassing the Hodrick-Prescott filter, are adapted to the particular time series under investigation. Via a suitable decomposition of the innovation process, it is shown that any linear time series with ARIMA representation can be broken down into orthogonal trend and cycle components, for which the class of filters is optimal. The main results then follow from Wiener-Kolmogorov signal extraction theory, whereas exact finite sample inferences are provided by the Kalman filter and smoother for the relevant state space representation of the decomposition.
Author :
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (768 download)
Download or read book The Extended Hodrick written by and published by . This book was released on 2011 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Torben Mark Pedersen
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (471 download)
Download or read book The Hodrick-Prescott filter, the Slutzky effect, and the distortionary effect of filters written by Torben Mark Pedersen and published by . This book was released on 1998 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Regina Kaiser
Publisher : Springer Science & Business Media
ISBN 13 : 1461301297
Total Pages : 198 pages
Book Rating : 4.4/5 (613 download)
Download or read book Measuring Business Cycles in Economic Time Series written by Regina Kaiser and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.
Author : Mark P. Taylor
Publisher : Routledge
ISBN 13 : 1317978498
Total Pages : 241 pages
Book Rating : 4.3/5 (179 download)
Download or read book Perspectives on Econometrics and Applied Economics written by Mark P. Taylor and published by Routledge. This book was released on 2014-06-11 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is dedicated to the memory and the achievements of Professor Sir Clive Granger, economics Nobel laureate and one of the great econometricians and applied economists of the twentieth and early twenty-first centuries. It comprises contributions from leading econometricians and applied economists who knew Sir Clive and interacted with him over the years, and who wished to pay tribute to him as both a great economist and econometrician, and as a great man. This book was originally published as a special issue of Applied Financial Economics.
Author : Christopher Tsoukis
Publisher : Oxford University Press
ISBN 13 : 0192559214
Total Pages : 512 pages
Book Rating : 4.1/5 (925 download)
Download or read book Theory of Macroeconomic Policy written by Christopher Tsoukis and published by Oxford University Press. This book was released on 2020-10-22 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of Macroeconomic Policy reviews the theoretical foundations of macroeconomic, fiscal, and monetary, policy. It offers a panoramic view of macroeconomic theory, covering a wide range of topics that are not customarily dealt with in macroeconomics texts, as well as more standard material. Advanced theory is bridged with more elementary or intermediate material, and established models are reviewed alongside current research directions. There is an extensive review of empirical evidence on virtually every topic, supplemented by narrative accounts for various episodes. The policy implications of the various theories are emphasised throughout. The chapters are largely self-contained so that different courses can focus at different places. A 'Guidance for Further Study' Section and extensive bibliography give plenty of ideas for all levels of independent study, from Undergraduate Projects to MSc Dissertations to PhD Theses. Theory of Macroeconomic Policy presents a balance between: breadth as well as depth; analytical treatment and intuition; theory and evidence; vintage theories and current directions; theory and policy; (established) theory and debate. Theory of Macroeconomic Policy is an affirmation that there is a well-developed body of theory that is invaluable for an in-depth understanding of the macro-economy and policy; equally, there is much scope for critical discussion and debate.
Author : Andrew Benito
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (919 download)
Download or read book A Complete Model-based Interpretation of the Hodrick-Prescott Filter, Spuriousness Reconsidered written by Andrew Benito and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yves Stephan Schüler
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book How Should We Filter Economic Time Series? written by Yves Stephan Schüler and published by . This book was released on 2019 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hamilton (2017) criticises the HP filter because of three drawbacks (i. spurious cycles, ii. end-of-sample bias, iii. ad hoc assumptions regarding the smoothing parameter) which, moreover, apply to other popular time series filters as well. As an alternative filter, he proposes a regression filter. I demonstrate that Hamilton's regression filter is partially subject to the same drawbacks (i. and iii.). Furthermore, I illustrate that Hamilton's regression filter does not fulfil established criteria for the desired properties of filters. For instance, in contrast to the HP filter, Hamilton's filter does not approximate the ideal band pass filter, does not have constant cyclical properties across time series, and induces phase shifts. I discuss two refinements to bridge Hamilton's and the established view. For extracting business or financial cycles, I find that a one-sided HP filter and a 1-quarter regression filter can best reconcile both perspectives.
