Seasonal decomposition with a modified Hodrick-Prescott filter

I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS developed by the Bank of Spain. A case study for Latvia's quarterly gross domestic product shows the procedure is able to extract a stable seasonal component, yet allowing for structural changes in seasonality.

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Year of publication:	2010-07-28
Authors:	Buss, Ginters

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Buss, Ginters (2010): Seasonal decomposition with a modified Hodrick-Prescott filter.
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015222487