Trend Extraction From Time Series With Structural Breaks
AbstractTrend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for instance). This note proposes a method for coping with this problem.
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Bibliographic InfoPaper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 1926.
Date of creation: May 2007
Date of revision:
Trend extraction; structural break; Hodrick-Prescott filter; Leser filter; spline; time-series; smoothing; interpolation.;
Find related papers by JEL classification:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-26 (All new papers)
- NEP-ECM-2007-05-26 (Econometrics)
- NEP-ETS-2007-05-26 (Econometric Time Series)
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