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Performance of short-term trend predictors for current economic analysis

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  • Olivier Darne

    (LEMNA, University of Nantes)

  • Estelle Bee Dagum

    (Department of Statistics, University of Bologna)

Abstract

We study the performance of several short-term trend estimators for current economic analysis. These estimators are available in X11-ARIMA, X12-ARIMA, TRAMO-SEATS and STAMP. We also include two other trend-cycle estimators obtained by post-processing seasonally adjusted data with X11ARIMA, namely, a modified Henderson nonlinear filter by Dagum (1996) DMH, and a new modified version of it, DMH-D. The estimators are applied to a number of simulated non-seasonal data of various levels of variability.

Suggested Citation

  • Olivier Darne & Estelle Bee Dagum, 2009. "Performance of short-term trend predictors for current economic analysis," Economics Bulletin, AccessEcon, vol. 29(1), pages 79-89.
    • Handle: RePEc:ebl:ecbull:eb-08c40008
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