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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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Recovering cointegration via wavelets in the presence of non-linear patterns
Martínez Compains, Jorge; Rodríguez Carreño, Ignacio; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 255-265
Persistent link: https://www.econbiz.de/10012806528
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Quantile regression-based seasonal adjustment
Caporin, Massimiliano; Elseidi, Mohammed - In: International journal of computational economics and … 13 (2023) 3, pp. 270-304
Persistent link: https://www.econbiz.de/10014312057
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Seasonal adjustment with measurement error present
Hausman, Jerry A.; Watson, Mark W. - 1983
Persistent link: https://www.econbiz.de/10001531507
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The use of ARIMA models in seasonal adjustment : a comparative study of Census X-11, X-11 ARIMA and Burman's signal extraction method
Butter, Frank A. G. den; Coenen, R. L.; Gevel, F. J. van de - 1985
Persistent link: https://www.econbiz.de/10000701355
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The effect of seasonal adjustment filters on tests for a unit root
Ghysels, Eric; Perron, Pierre - 1990
Persistent link: https://www.econbiz.de/10000809708
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Unobserved components in ARCH models : an application to seasonal adjustment
Fiorentini, Gabriele; Maravall Herrero, Agustín - 1994
Persistent link: https://www.econbiz.de/10000147942
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The effects of seasonal adjustment in econometric models
Beck, M. A. - 1981
Persistent link: https://www.econbiz.de/10001887078
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Operational time and seasonality in distributed lag estimation
Clark, Peter K. - 1974
Persistent link: https://www.econbiz.de/10002001361
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On the seasonality of vector autoregression residuals
Burbidge, John B.; Magee, L.; Veall, Michael R. - In: Economics letters 18 (1985) 2/3, pp. 137-141
Persistent link: https://www.econbiz.de/10001966160