The objective of this paper is to show an alternative technique to smooth time series from Monte Carlo Simulations. The technique considers that time series can contain more than one structural break, coming from movements in coefficients of trend or from intercept. The Hodrick-Prescott Filter (HP) does not provide identification of such possible breaks in order to smooth trend from the series to analyze its cyclical component. If the series are relatively stable, this problem may not have relevant implications. Otherwise, for economies relatively unstable, trend movements may interfere in the specification of the cyclical component, and Hodrick-Prescott smoothing could lead empiricists to achieve simplistic forms to economic cycles. In the context, we present an empirical methodology that allows structural breaks in any point of time, from coefficients or from intercepts. We apply this recursive technique to different models with variations in trend, from coefficients and from intercepts, using series simulated by Monte Carlo. Moreover, we compare the results of both techniques to the Brazilian GDP.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Length: Date of creation: 2004 Date of revision: Handle: RePEc:anp:en2004:104
Contact details of provider: Postal: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil Phone: 55 21 2621 1802 Fax: 55-11-3091-6073 Email: Web page: http://www.anpec.org.br More information through EDIRC
Order Information: Postal: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
For technical questions regarding this item, or to correct its listing, contact: (Hugo E. A. da Gama Cerqueira) The email address of this maintainer does not seem to be valid anymore. Please ask Hugo E. A. da Gama Cerqueira to update the entry or send us the correct address..
Related research
Keywords:
Find related papers by JEL classification: E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
This paper has been announced in the following NEP Reports:
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.: