Advanced Search
MyIDEAS: Login to save this article or follow this journal

Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter

Contents:

Author Info

  • Maravall, A.
  • del Rio, A.

Abstract

Maravall and del Río (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as the exact result from direct application of an HP filter to the aggregate series. The present paper shows how, using several criteria, one can find HP decompositions for different levels of aggregation that provide similar results. We use as the main criterion for aggregation the preservation of the period associated with the frequency for which the filter gain is ½; this criterion is intuitive and easy to apply. It is shown that the Ravn and Uhlig (2002) empirical rule turns out to be a first-order approximation to our criterion, and that alternative —more complex— criteria yield similar results. Moreover, the values of the parameter ? of the HP filter, that provide results that are approximately consistent under aggregation, are considerably robust with respect to the ARIMA model of the series. Aggregation is seen to work better for the case of temporal aggregation than for systematic sampling. Still a word of caution is made concerning the desirability of exact aggregation consistency. The paper concludes with a clarification having to do with the questionable spuriousness of the cycles obtained with HP filter.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V8V-4PD4X8K-1/2/dbe442c0ccb5e86ea62c46cade35e5de
Download Restriction: Full text for ScienceDirect subscribers only.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 52 (2007)
Issue (Month): 2 (October)
Pages: 975-998

as in new window
Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:975-998

Contact details of provider:
Web page: http://www.elsevier.com/locate/csda

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
  2. David K. Backus & Patrick J. Kehoe, 1991. "International evidence on the historical properties of business cycles," Staff Report, Federal Reserve Bank of Minneapolis 145, Federal Reserve Bank of Minneapolis.
  3. Andrés, Javier & Doménech, Rafael & Fatás, Antonio, 2004. "The Stabilizing Role of Government Size," CEPR Discussion Papers 4384, C.E.P.R. Discussion Papers.
  4. Maravall, Agustin, 2006. "An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(9), pages 2167-2190, May.
  5. Claudia Canals & Xavier Gabaix & Josep M. Vilarrubia & David Weinstein, 2007. "Trade patterns, trade balances and idiosyncratic shocks," Banco de Espa�a Working Papers 0721, Banco de Espa�a.
  6. Pollock, D. S. G., 2003. "Improved frequency selective filters," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(3), pages 279-297, March.
  7. Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Discussion Paper, Tilburg University, Center for Economic Research 1998-142, Tilburg University, Center for Economic Research.
  8. Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(4), pages 691-710.
  9. Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9517, Universite de Montreal, Departement de sciences economiques.
  10. Vermeulen, Philip & Dias, Daniel & Dossche, Maarten & Gautier, Erwan & Hernando, Ignacio & Sabbatini, Roberto & Stahl, Harald, 2007. "Price setting in the euro area: some stylised facts from individual producer price data," Working Paper Series 0727, European Central Bank.
  11. Ricardo Gimeno & Juan M. Nave, 2006. "Genetic algorithm estimation of interest rate term structure," Banco de Espa�a Working Papers 0634, Banco de Espa�a.
  12. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, Elsevier, vol. 41(3), pages 475-512, May.
  13. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de Espa�a Working Papers 0108, Banco de Espa�a.
  14. Donato Masciandaro & María J. Nieto & Henriëtte Prast, 2007. "Financial governance of banking supervision," Banco de Espa�a Working Papers 0725, Banco de Espa�a.
  15. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).
  16. Enrique Alberola & José María Serena, 2007. "Global financial integration, monetary policy and reserve accumulation. Assessing the limits in emerging economies," Banco de Espa�a Working Papers 0706, Banco de Espa�a.
  17. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, Elsevier, vol. 41(3), pages 533-540, May.
  18. Cooley, T.F. & Ohanian, L.E., 1989. "The Cyclical Behavior Of Prices," RCER Working Papers 188, University of Rochester - Center for Economic Research (RCER).
  19. Cogley, Timothy, 2001. "Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(8), pages 1103-1107, August.
  20. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  21. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de Espa�a Working Papers 9324, Banco de Espa�a.
  22. Mario Izquierdo & Juan F. Jimeno & Juan A. Rojas, 2007. "On the aggregate effects of immigration in Spain," Banco de Espa�a Working Papers 0714, Banco de Espa�a.
  23. Eva Ortega & Pablo Burriel & José Luis Fernández & Eva Ferraz & Samuel Hurtado, 2007. "Actualización del modelo trimestral del Banco de España," Banco de Espa�a Working Papers 0717, Banco de Espa�a.
  24. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  25. Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(2), pages 477-498, April.
  26. Ruben Segura-Cayuela, 2006. "Inefficient Policies, Inefficient Institutions and Trade," 2006 Meeting Papers, Society for Economic Dynamics 502, Society for Economic Dynamics.
  27. Juan Ruiz & Josep M. Vilarrubia, 2007. "The wise use of dummies in gravity models: export potentials in the Euromed region," Banco de Espa�a Working Papers 0720, Banco de Espa�a.
  28. Mark A. Wynne & Jahyeong Koo, 1997. "Business cycles under monetary union: EU and US business cycles compared," Working Papers 9707, Federal Reserve Bank of Dallas.
  29. Luis J. Álvarez & Ignacio Hernando, 2006. "Competition and price adjustment in the euro area," Banco de Espa�a Working Papers 0629, Banco de Espa�a.
  30. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
  31. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de Espa�a Working Papers 0108, Banco de Espa�a.
  32. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, Elsevier, vol. 61(2), pages 197-233, April.
  33. Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(9), pages 2268-2292, May.
  34. Josep M. Vilarrubia, 2006. "Neighborhood effects in economic growth," Banco de Espa�a Working Papers 0627, Banco de Espa�a.
  35. Juan Ayuso & Juan F. Jimeno & Ernesto Villanueva, 2007. "The effects of the introduction of tax incentives on retirement savings," Banco de Espa�a Working Papers 0724, Banco de Espa�a.
  36. Brewer, K. R. W., 1973. "Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models," Journal of Econometrics, Elsevier, Elsevier, vol. 1(2), pages 133-154, June.
  37. Harvey, Andrew, 1997. "Trends, Cycles and Autoregressions," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(440), pages 192-201, January.
  38. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jaqueson K. Galimberti & Marcelo L. Moura, 2014. "Improving the Reliability of Real-time Hodrick-Prescott Filtering Using Survey Forecasts," KOF Working papers 14-360, KOF Swiss Economic Institute, ETH Zurich.
  2. Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2008. "The Effects of Unification: Markets, Policy and Cyclical Convergence in Italy, 1861-1913," CEIS Research Paper 133, Tor Vergata University, CEIS, revised 18 Nov 2008.
  3. Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 151, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Aliaga Lordemann, Javier & Villegas Quino, Horacio & Rubín de Celis, Raúl, 2011. "Ciclos Económicos e Inversión en Bolivia," Documentos de trabajo, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana 2/2011, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
  5. Kathavate, Jay, 2013. "Direct & Indirect Effects of Aid Volatility on Growth: Do Stronger Institutions Play a Role?," MPRA Paper 45187, University Library of Munich, Germany.
  6. Mikko Myrskylä, 2010. "The effects of shocks in early life mortality on later life expectancy and mortality compression: A cohort analysis," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 22(12), pages 289-320, March.
  7. Andreas Billmeier, 2009. "Ghostbusting: which output gap really matters?," International Economics and Economic Policy, Springer, vol. 6(4), pages 391-419, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:975-998. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.