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

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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

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Extent:	Online-Ressource (7 S., 3333 KB, text) graph. Darst.
Series:	Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers. - München : Univ., ZDB-ID 2296321-2. - Vol. 2007-18
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:10419/104229 [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/10003470551