The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature
AbstractIn this paper we use the Hodrick-Prescott filter for analysing global temperature data. We are especially concerned with a reliable estimation of the trend component at the end of the data sample. To this end we employ time-varying values for the penalization parameter. The optimal values are derived by a comparison with an ideal filter. The method is applied to temperature data for the northern hemisphere from 1850 to 2012. The main result is that for the optimal specification of the flexible penalization the trend component of temperature is still increasing, possibly with a somewhat lower pace.
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Bibliographic InfoPaper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 4577.
Date of creation: 2014
Date of revision:
climate change; global warming; trend; Hodrick-Prescott filter; flexible penalization;
Find related papers by JEL classification:
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-ENE-2014-03-08 (Energy Economics)
- NEP-ENV-2014-03-08 (Environmental Economics)
- NEP-ETS-2014-03-08 (Econometric Time Series)
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