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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 …
Persistent link: https://www.econbiz.de/10003951479
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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 …
Persistent link: https://www.econbiz.de/10003470549
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Trend extraction from time series with missing observations
Schlicht, Ekkehart - 2007
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the …
Persistent link: https://www.econbiz.de/10003470551
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Estimating the smoothing parameter in the so-called Hodrick-Prescott filter
Schlicht, Ekkehart - 2004
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...
Persistent link: https://www.econbiz.de/10010440442
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Predictive ability of business cycle indicators under test : a case study for the Euro Area industrial production
Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina … - 2010
one is interested in one-month forecasts only, the business climate indicator of the European Commission yields the …
Persistent link: https://www.econbiz.de/10003952110
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Forecasting GDP at the regional level with many predictors
Lehmann, Robert; Wohlrabe, Klaus - 2013
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at …-indicator, pooled and factor forecasts in a pseudo real-time setting. Our results show that we can significantly increase forecast …
Persistent link: https://www.econbiz.de/10010350218