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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 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/10005187291

Trend Extraction From Time Series With Structural Breaks

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2007

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 the time series contains structural breaks (such as produced by German unification for German time series, for...

Persistent link: https://www.econbiz.de/10005187327

Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - European Central Bank - 2003

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Persistent link: https://www.econbiz.de/10005530985

Forecasting stock market volatility conditional on macroeconomic conditions.

Becker, Ralf; Clements, Adam - National Centre for Econometric Research (NCER) - 2007

macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the …

Persistent link: https://www.econbiz.de/10005416549

Interest Rate Modeling: A Matlab Implementation

Marazzina, Daniele - Dipartimento di Scienze Economiche e Metodi … - 2007

interest rate. More precisely, we implement the exponential functional form of Nelson-Siegel and polynomial spline methods …

Persistent link: https://www.econbiz.de/10005744232

Trend Extraction From Time Series With Structural Breaks and Missing Observations

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2008

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...

Persistent link: https://www.econbiz.de/10005649812

On penalized likelihood estimation for a non-proportional hazards regression model

Devarajan, Karthik; Ebrahimi, Nader - In: Statistics & Probability Letters 83 (2013) 7, pp. 1703-1710

In this paper, a semi-parametric generalization of the Cox model that permits crossing hazard curves is described. A theoretical framework for estimation in this model is developed based on penalized likelihood methods. It is shown that the optimal solution to the baseline hazard, baseline...

Persistent link: https://www.econbiz.de/10010665591

The indirect effect of fine particulate matter on health through individuals’ life-style

Di Novi, Cinzia - In: Journal of Behavioral and Experimental Economics … 44 (2013) C, pp. 27-36

Limited literature has been published on the association between environmental health indicators, life-style habits and ambient air pollution. We have examined the association of asthma prevalence and the amount of health investment with daily mean concentrations of particulate matter (PM) with...

Persistent link: https://www.econbiz.de/10010666069

Sensible parameters for univariate and multivariate splines

Newson, Roger B. - In: Stata Journal 12 (2012) 3, pp. 479-504

regression model are simply values of the spline at reference points on the X axis. The recent addition, flexcurv, is an easy … flexcurv now have the additional option of generating an incomplete basis of reference splines, with the reference spline for a … design matrix and can then be used to estimate differences between values of the spline at the remaining reference points and …

Persistent link: https://www.econbiz.de/10010631477

A semiparametric stochastic volatility model

Yu, Jun - In: Journal of Econometrics 167 (2012) 2, pp. 473-482

on a linear spline. In the new model the correlation between the return and volatility innovations is time varying and …

Persistent link: https://www.econbiz.de/10010574062