TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS
نویسندگان
چکیده
The Hodrick–Prescott (HP) filter has been a popular method of trend extraction from economic time series. However, it is impractical without modification if some observations are not available. This paper improves the HP so that can be applied in such situations. More precisely, this introduces two alternative generalized filters applicable for purpose. We provide their properties and way specifying those smoothing parameters required application. In addition, we numerically examine performance. Finally, based on our analysis, recommend one them studies.
منابع مشابه
Nonparametric HAC Estimation for Time Series Data With Missing Observations
The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true spectrum of the underlying process using only the observed data leads to incorrect inference. Instead, w...
متن کاملSpectral estimation for locally stationary time series with missing observations
Time series arising in practice often have an inherently irregular sampling structure or missing values, that can arise for example due to a faulty measuring device or complex time-dependent nature. Spectral decomposition of time series is a traditionally useful tool for data variability analysis. However, existing methods for spectral estimation often assume a regularly-sampled time series, or...
متن کاملMissing data imputation in multivariable time series data
Multivariate time series data are found in a variety of fields such as bioinformatics, biology, genetics, astronomy, geography and finance. Many time series datasets contain missing data. Multivariate time series missing data imputation is a challenging topic and needs to be carefully considered before learning or predicting time series. Frequent researches have been done on the use of diffe...
متن کاملContinuous-Time Signal Extraction: Filter Design for Economic Time Series
This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observation. We rigorously derive the optimal continuous-lag filter when the signal component is nonstationary, and provide several illustrations, including...
متن کاملTidal prediction using time series analysis of Buoy observations
Although tidal observations which are extracted from coastal tide gages, have higher accuracy due to their higher sampling rate, installing these types of gages can impose some spatial limitation since we cannot use every part of sea to install them. To solve this limitation, we can employ satellite altimetry observations. However, satellite altimetry observations have lower sampling rate. Acco...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometric Theory
سال: 2021
ISSN: ['1469-4360', '0266-4666']
DOI: https://doi.org/10.1017/s0266466621000189