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Time Aggregation and the Hodrick-Prescott Filter

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Author Info
Agustín Maravall
Ana del Río
Abstract

The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into trend and cycle are analized for the case of annual, quarterly, and monthly data. It is seen that aggregation of the disagreggate component estimators cannot be obtained as the exact result from applying an HP filter to the aggregate series (and viceversa).

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File URL: http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/01/Fic/dt0108e.pdf
File Format: application/pdf
File Function: First version, 2001
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Publisher Info
Paper provided by Banco de España in its series Banco de España Working Papers with number 0108.

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Length: 44 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:bde:wpaper:0108

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Related research
Keywords: TIME SERIES ; ESTIMATORS ; BUSINESS CYCLES;

Find related papers by JEL classification:
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  3. Nikopour, Hesam, 2005. "Business cycles and policy making in social insurance systems the case of Iran (1962-2004)," MPRA Paper 13060, University Library of Munich, Germany, revised 29 Jan 2009. [Downloadable!]
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