Trend extraction from time series with structural breaks

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 the time series contains structural breaks (such as produced by German unification for German time series, for instance). This note proposes a method for coping with this problem.

MoreLess

Year of publication:	2007
Authors:	Schlicht, Ekkehart
Publisher:	München : Univ., Volkswirtschaftl. Fak.
Subject:	Trend extraction \| structural break \| Hodrick-Prescott filter \| Leser filter \| spline \| time-series \| smoothing \| interpolation \| Trend \| Zeitreihenanalyse \| Time series analysis \| Statistische Methodenlehre \| Statistical theory

freely available

Full text |

More access options

epub.ub.uni-muenchen.de

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

I need help

Extent:	Online-Ressource (6 S., 3984 KB, text) graph. Darst.
Series:	Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers. - München : Univ., ZDB-ID 2296321-2. - Vol. 2007-17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	Record-last-verified: 07-06-07
Other identifiers:	hdl:10419/104224 [Handle]
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; C63 - Computational Techniques ; C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003470549