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Trend extraction from time series with missing observations

Ekkehart Schlicht
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 some data points are missing. This note proposes a method for coping with this problem
Year of publication:
2007
Authors: Schlicht, Ekkehart
Publisher: München : Univ., Volkswirtschaftl. Fak.
Subject: Trend extraction | missing observations | gaps | Hodrick-Prescott filter | Leser filter | spline | time-series | smoothing | interpolation | Trend | Zeitreihenanalyse | Time series analysis | Statistische Methodenlehre | Statistical theory
freely available
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epub.ub.uni-muenchen.de
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