The local quadratic trend model
The local quadratic trend model provides a flexible response to underlying movements in a macroeconomic time series in its estimates of level and change. If the underlying movements are thought of as a trend plus cycle, an estimate of the cycle may be obtained from the quadratic term. Estimating the cycle in this way may offer a useful alternative to other model-based methods of signal extraction, particularly when the series is short. The properties of the filter used to extract the cycle are analysed in the frequency domain and the technique is illustrated with macroeconomic time series from several countries. Copyright © 2009 John Wiley & Sons, Ltd.
Volume (Year): 29 (2010)
Issue (Month): 1-2 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- A. C. Harvey & Siem Jan Koopman, 2000.
"Computing Observation Weights for Signal Extraction and Filtering,"
Econometric Society World Congress 2000 Contributed Papers
0888, Econometric Society.
- Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
- Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Morten Ravn, . "Alternate GAUSS program for the Hodrick-Prescott Filter," QM&RBC Codes 102, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2004. "HP-filter for Java," QM&RBC Codes 168, Quantitative Macroeconomics & Real Business Cycles.
- Christian Zimmermann, 2005. "HP-Filter code (Perl)," QM&RBC Codes 98, Quantitative Macroeconomics & Real Business Cycles.
- Ken Matheny & Simon van Norden & Robert Vigfusson, 1989. "GAUSS code for the Hodrick-Prescott filter," QM&RBC Codes 2, Quantitative Macroeconomics & Real Business Cycles, revised Apr 1995.
- Kurt Annen, 2006. "HP-Filter DLL executable," QM&RBC Codes 167, Quantitative Macroeconomics & Real Business Cycles.
- Ivailo Izvorski, . "MATLAB code for the Hodrick-Prescott filter," QM&RBC Codes 1, Quantitative Macroeconomics & Real Business Cycles.
- Edward C. Prescott, 1982. "FORTRAN code for the Hodrick-Prescott filter," QM&RBC Codes 3, Quantitative Macroeconomics & Real Business Cycles.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Morten Ravn, . "GAUSS program for Hodrick-Prescott filter," QM&RBC Codes 101, Quantitative Macroeconomics & Real Business Cycles.
- Christian Zimmermann, 2005. "HP-Filter (web interface)," QM&RBC Codes 97, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2006. "HP-Filter Excel Add-In," QM&RBC Codes 165, Quantitative Macroeconomics & Real Business Cycles.
- Kurt Annen, 2004. "Matlab functions for HP-filter," QM&RBC Codes 166, Quantitative Macroeconomics & Real Business Cycles.
- Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007.
"Trends and cycles in economic time series: A Bayesian approach,"
Journal of Econometrics,
Elsevier, vol. 140(2), pages 618-649, October.
- Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, December.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:29:y:2010:i:1-2:p:94-108. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.