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A Hodrick-Prescott filter with automatically selected jumps
Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de/10014578421
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Econometric filters
Pollock, David Stephen G. - 2017
Persistent link: https://www.econbiz.de/10011581626
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Wavelet : a new tool for business cycle analysis
Raihan, Sharif Md. (contributor); Wen, Yi (contributor);  … - 2005
"One basic problem in business-cycle studies is how to deal with nonstationary time series. The market economy is an evolutionary system. Economic time series therefore contain stochastic components that are necessarily time dependent. Traditional methods of business cycle analysis, such as the...
Persistent link: https://www.econbiz.de/10002956724
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...
Persistent link: https://www.econbiz.de/10012818429
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Economic cycles and their synchronization : a survey of spectral properties
Sella, L.; Vivaldo, G.; Groth, A.; Ghil, Michael - 2013
The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...
Persistent link: https://www.econbiz.de/10010225969
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Trends cycles and seasons : econometric methods of signal extraction
Pollock, David Stephen G. - 2017
Persistent link: https://www.econbiz.de/10011581633
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European gasoline markets : price transmission asymmetries in mean and variance
Torrado, María; Escribano, Álvaro - 2020
Persistent link: https://www.econbiz.de/10012158754
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Modeling US soy-based markets with directed acyclic graphs and times series econometrics : evaluating the US market impacts of high soy meal prices
Babula, Ronald Alexander; Bessler, David A.; Reeder, John; … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002121949
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Dynamic relationships among selected US commodity-based, value-added markets : applying directed acycle graphs to a time series model
Babula, Ronald Alexander (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002121968
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Is the price cap for gas useful? : evidence from European countries
Ravazzolo, Francesco; Rossini, Luca - 2023
Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect … the importance of the price cap for gas, we provide a mixture representation for the gas price to detect the presence of … autoregressive (VAR) model. As a result, including a lower gas price cap smooths the impact of a gas shock on electricity prices …
Persistent link: https://www.econbiz.de/10014390297