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Trend Extraction From Time Series With Structural Breaks

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  • Schlicht, Ekkehart

Abstract

Trend 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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File URL: http://epub.ub.uni-muenchen.de/1926/1/schlicht_structura__breaks_DP17.pdf
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Bibliographic Info

Paper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 1926.

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Date of creation: May 2007
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Handle: RePEc:lmu:muenec:1926

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Keywords: Trend extraction; structural break; Hodrick-Prescott filter; Leser filter; spline; time-series; smoothing; interpolation.;

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Cited by:
  1. Zheng, Jinghai & Bigsten, Arne & Hu, Angang, 2006. "Can China’s Growth be Sustained? A Productivity Perspective," Working Papers in Economics 236, University of Gothenburg, Department of Economics.

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