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Measuring Business Cycles in Economic Time Series

Language EnglishEnglish
Book Paperback
Book Measuring Business Cycles in Economic Time Series Regina Kaiser
Libristo code: 01384262
Publishers Springer-Verlag New York Inc., November 2000
This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternat... Full description
? points 161 b
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This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.

About the book

Full name Measuring Business Cycles in Economic Time Series
Author Regina Kaiser, Agustin Maravall
Language English
Binding Book - Paperback
Date of issue 2000
Number of pages 190
EAN 9780387951126
ISBN 0387951121
Libristo code 01384262
Publishers Springer-Verlag New York Inc.
Weight 650
Dimensions 155 x 235 x 12

Categories

Economics, Finance, Business & Management > Economics > Microeconomics
Economics, Finance, Business & Management > Economics > Econometrics & economic statistics
Mathematics & Science > Mathematics > Probability & statistics
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