Exponential smoothing and spurious correlation: a note
AbstractExponential smoothing can introduce spurious auto-correlation in detrended data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The most widely-used version of exponential smoothing is the Hodrick-Prescott low-frequency filter.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 2 (1995)
Issue (Month): 3 ()
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Other versions of this item:
- Blackburn, K. & Orduna, F. & Sola, M., 1992. "Exponential smoothing and spurious correlation: a note," Discussion Paper Series In Economics And Econometrics 9205, Economics Division, School of Social Sciences, University of Southampton.
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- Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The Univeristy of Manchester.
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