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The local quadratic trend model

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Author Info

  • Andrew Harvey

    (Faculty of Economics and Politics, University of Cambridge, UK)

Abstract

The local quadratic trend model provides a flexible response to underlying movements in a macroeconomic time series in its estimates of level and change. If the underlying movements are thought of as a trend plus cycle, an estimate of the cycle may be obtained from the quadratic term. Estimating the cycle in this way may offer a useful alternative to other model-based methods of signal extraction, particularly when the series is short. The properties of the filter used to extract the cycle are analysed in the frequency domain and the technique is illustrated with macroeconomic time series from several countries. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1144
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 1-2 ()
Pages: 94-108

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Handle: RePEc:jof:jforec:v:29:y:2010:i:1-2:p:94-108

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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