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Why we should use high values for the smoothing parameter of the Hodrick-Prescott filter
Flaig, Gebhard - 2012
The HP filter is the most popular filter for extracting the trend and cycle components from an observed time series. Many researchers consider the smoothing parameter lambda = 1600 as something like an universal constant. It is well known that the HP filter is an optimal filter under some...
Persistent link: https://www.econbiz.de/10010281937
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Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
Flaig, Gebhard - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 6, pp. 518-538
Summary The HP filter is the most popular filter for extracting the unobserved trend and cycle components from a time series. Many researchers consider the smoothing parameter λ = 1600 as something like a universal constant. It is well known that the HP filter is an optimal filter under some...
Persistent link: https://www.econbiz.de/10014609545
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Why we should use high values for the smoothing parameter of the Hodrick-Prescott filter
Flaig, Gebhard - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 6, pp. 518-538
Persistent link: https://www.econbiz.de/10011431777
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Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks
Blöchl, Andreas - 2014
On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point...
Persistent link: https://www.econbiz.de/10010427674
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Trend estimation with penalized splines as mixed models for series with structural breaks
Blöchl, Andreas - 2014
On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point...
Persistent link: https://www.econbiz.de/10010350102
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Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks
Blöchl, Andreas - Volkswirtschaftliche Fakultät, … - 2014
On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point...
Persistent link: https://www.econbiz.de/10011106294
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Modelling long-run trends and cycles in financial time series data
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2008
suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and …
Persistent link: https://www.econbiz.de/10010264382
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Long-Run Trends and Cycles in US House Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis Alberiko - 2023
integration of the cyclical structure implies that cycles have a periodicity of about 8 years, but it is almost insignificant in …
Persistent link: https://www.econbiz.de/10014469660
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Trends and cycles in macro series: The case of US real GDP
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US … be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for somedegree … cyclical component is stationary, with cycles repeating themselves every 6-10 years. …
Persistent link: https://www.econbiz.de/10011749973
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Trends and Cycles in Macro Series: The Case of US Real GDP
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US … be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for some degree … cyclical component is stationary, with cycles repeating themselves every 6 – 10 years. …
Persistent link: https://www.econbiz.de/10011777593