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- catalog abstract "The purpose of the manuscript is to outline and demonstrate problems with the use of the HP filter, and to propose an alternative strategy for inferring cyclical behavior from a time series that features seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series in question with forecasts and backcasts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented in the paper using artificial and actual data demonstrate the superiority of the alternative strategy.".
- catalog contributor b11920362.
- catalog contributor b11920363.
- catalog created "c2001.".
- catalog date "2001".
- catalog date "c2001.".
- catalog dateCopyrighted "c2001.".
- catalog description "Includes bibliographical references and index.".
- catalog description "Introduction and Brief Summary -- A Brief Review of Applied Time Series Analysis -- ARIMA Models and Signal Extraction -- Detrending and the Hodrick-Prescott Filter -- Some Basic Limitations of the Hodrick-Prescott Filter -- Improving the Hodrick-Prescott Filter -- Hodrick-Prescott Filtering Within a Model Based Approach.".
- catalog description "The purpose of the manuscript is to outline and demonstrate problems with the use of the HP filter, and to propose an alternative strategy for inferring cyclical behavior from a time series that features seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series in question with forecasts and backcasts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented in the paper using artificial and actual data demonstrate the superiority of the alternative strategy.".
- catalog extent "viii, 190 p. :".
- catalog identifier "0387951121 (alk. paper)".
- catalog isPartOf "Lecture notes in statistics (Springer-Verlag) ; v. 154.".
- catalog isPartOf "Lecture notes in statistics ; 154".
- catalog issued "2001".
- catalog issued "c2001.".
- catalog language "eng".
- catalog publisher "New York : Springer,".
- catalog subject "338.5/42/0151955 21".
- catalog subject "Business cycles.".
- catalog subject "Econometrics.".
- catalog subject "Economics Statistics.".
- catalog subject "HB3711 .K26 2001".
- catalog subject "Statistics.".
- catalog subject "Time-series analysis.".
- catalog tableOfContents "Introduction and Brief Summary -- A Brief Review of Applied Time Series Analysis -- ARIMA Models and Signal Extraction -- Detrending and the Hodrick-Prescott Filter -- Some Basic Limitations of the Hodrick-Prescott Filter -- Improving the Hodrick-Prescott Filter -- Hodrick-Prescott Filtering Within a Model Based Approach.".
- catalog title "Measuring business cycles in economic time series / Regina Kaiser, Agustín Maravall.".
- catalog type "text".