Exponential smoothing and spurious correlation: a note
AbstractExponential smoothing can introduce spurious auto-correlation in detrended data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The most widely-used version of exponential smoothing is the Hodrick-Prescott low-frequency filter.
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Bibliographic InfoPaper provided by Economics Division, School of Social Sciences, University of Southampton in its series Discussion Paper Series In Economics And Econometrics with number 9205.
Date of creation: 01 Jan 1992
Date of revision:
Other versions of this item:
- Keith Blackburn & Felipe Orduna & Martin Sola, 1995. "Exponential smoothing and spurious correlation: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 2(3), pages 76-79.
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- Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The Univeristy of Manchester.
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