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Trend Extraction From Time Series With Structural Breaks and Missing Observations

Schlicht, Ekkehart - 2008

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...

Persistent link: https://www.econbiz.de/10010427520

Trend Extraction From Time Series With Structural Breaks and Missing Observations

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10005649812

Pooling-based data interpolation and backdating

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...

Persistent link: https://www.econbiz.de/10005124455

Trend Extraction From Time Series With Missing Observations

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2007

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.

Persistent link: https://www.econbiz.de/10005187274

Trend Extraction From Time Series With Structural Breaks

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2007

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...

Persistent link: https://www.econbiz.de/10005187327

Lorenz Curve Interpolation and the Gini Coefficient

Rohde, Nicholas - In: Journal of Income Distribution 19 (2010) 2, pp. 111-123

This article presents a simple non-polynomial spline that may be used to construct Lorenz curves from grouped data. The … spline is naturally convex and works by determining a series of piecewise segments that may be joined to give a smooth and … spline to approximate some known Lorenz curves and assess the technique by comparing the estimated Gini coefficient to the …

Persistent link: https://www.econbiz.de/10008673293

Sensible parameters for univariate and multivariate splines

Newson, Roger B. - In: Stata Journal 12 (2012) 3, pp. 479-504

regression model are simply values of the spline at reference points on the X axis. The recent addition, flexcurv, is an easy … flexcurv now have the additional option of generating an incomplete basis of reference splines, with the reference spline for a … design matrix and can then be used to estimate differences between values of the spline at the remaining reference points and …

Persistent link: https://www.econbiz.de/10010631477

Trend extraction from time series with structural breaks and missing observations

Schlicht, Ekkehart - 2008

Persistent link: https://www.econbiz.de/10003951479

Trend extraction from time series with structural breaks

Schlicht, Ekkehart - 2007

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...

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

Trend extraction from time series with missing observations

Schlicht, Ekkehart - 2007

Persistent link: https://www.econbiz.de/10003470551