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Measuring business cycles in economic time series
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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.
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Measuring business cycles in economic time series, Regina Kaiser
- Language
- Released
- 2001
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- Title
- Measuring business cycles in economic time series
- Language
- English
- Authors
- Regina Kaiser
- Publisher
- Springer
- Released
- 2001
- ISBN10
- 0387951121
- ISBN13
- 9780387951126
- Series
- Lecture notes in statistics
- Category
- Technology / Engineering
- Description
- 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.