Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico
[Different Techniques of Modelling Trend and its applications to Puerto Rico Sectoral Employment Series]
AbstractAbstracts: This paper considers the principal approaches used for modelling trends in economic time series. Deterministic, stochastic, and segmented trends models with dates of break determined endogenously are considered. Also, a review of Quandt/Andrews/Bain method to identify structural changes and construct confidence intervals for the break dates is presented. These techniques are applied to Puerto Rico sectoral employment series.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26871.
Date of creation: Nov 2010
Date of revision:
Palabras Clave: Modelos de tendencia; filtro Hodrick-Prescott; descomposición Beveridge-Nelson; cambios estructurales con fechas endógenas; intervalos de confianza para fechas de cambios estructurales. Key Words: Modelling trends; structural break and confidence intervals; Hodrick-Prescott Filter; Beveridge-Nelson Decomposition.;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-04 (All new papers)
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