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Filtering Time Series with Penalized Splines

Author

Listed:
  • Kauermann Goeran

    () (University Bielefeld)

  • Krivobokova Tatyana

    () (University of Göttingen)

  • Semmler Willi

    () (The New School)

Abstract

The decomposition and filtering of time series is an important issue in economics and econometrics and related fields. Even though there are numerous competing methods on the market, in applications one often meets one of the few favorites, like the Hodrick-Prescott filter or the bandpass filter.In this paper, we suggest to employ penalized splines fitting for detrending. The approach allows to take correlation of the residuals into account and provides a data driven setting of the smoothing parameter, none of which the classical filters allow. We show the simplicity of the penalized spline filter using the open source software R and demonstrate differences and features with numerous data examples.

Suggested Citation

  • Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011. "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
  • Handle: RePEc:bpj:sndecm:v:15:y:2011:i:2:n:2
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    References listed on IDEAS

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    1. Miles S. Kimball & John G. Fernald & Susanto Basu, 2006. "Are Technology Improvements Contractionary?," American Economic Review, American Economic Association, vol. 96(5), pages 1418-1448, December.
    2. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, May.
    3. Gerda Claeskens & Tatyana Krivobokova & Jean D. Opsomer, 2009. "Asymptotic properties of penalized spline estimators," Biometrika, Biometrika Trust, vol. 96(3), pages 529-544.
    4. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, May.
    5. Thomas M. Trimbur, 2006. "Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 247-273.
    6. Dagum, Estela Bee & Giannerini, Simone, 2006. "A critical investigation on detrending procedures for non-linear processes," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 175-191, March.
    7. Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, May.
    8. Krivobokova, Tatyana & Kauermann, Goran, 2007. "A Note on Penalized Spline Smoothing With Correlated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1328-1337, December.
    9. Inyoung Kim & Noah D. Cohen & Raymond J. Carroll, 2003. "Semiparametric Regression Splines in Matched Case-Control Studies," Biometrics, The International Biometric Society, vol. 59(4), pages 1158-1169, December.
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    Citations

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    Cited by:

    1. Blöchl, Andreas, 2014. "Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks," Discussion Papers in Economics 18446, University of Munich, Department of Economics.
    2. Rosales, Francisco & von-Cramon, Stephan, 2015. "Analysis of Price Transmission using a Nonparametric Error Correction Model with Time-Varying Cointegration," 2015 Conference, August 9-14, 2015, Milan, Italy 230227, International Association of Agricultural Economists.
    3. Bloechl, Andreas, 2014. "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics 21406, University of Munich, Department of Economics.
    4. Luis Francisco Rosales & Tatyana Krivobokova, 2012. "Instant Trend-Seasonal Decomposition of Time Series with Splines," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 131, Courant Research Centre PEG.
    5. Holst, Carsten & von Cramon-Taubadel, Stephan, 2011. "International Synchronisation of the Pork Cycle," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114532, European Association of Agricultural Economists.
    6. Göran Kauermann & Timo Teuber & Peter Flaschel, 2012. "Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 409-427, April.
    7. Anusha, "undated". "Evaluating reliability of some symmetric and asymmetric univariate filters," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-030, Indira Gandhi Institute of Development Research, Mumbai, India.

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