Seasonal decomposition with a modified Hodrick-Prescott filter
AbstractI describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS developed by the Bank of Spain. A case study for Latvia's quarterly gross domestic product shows the procedure is able to extract a stable seasonal component, yet allowing for structural changes in seasonality.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24133.
Date of creation: 28 Jul 2010
Date of revision:
seasonal decomposition; Hodrick-Prescott filter; quarterly GDP;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-08-06 (All new papers)
- NEP-ECM-2010-08-06 (Econometrics)
- NEP-ETS-2010-08-06 (Econometric Time Series)
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- Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Banco de Espaï¿½a Working Papers 0012, Banco de Espa�a.
- repec:fth:baesse:0012 is not listed on IDEAS
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