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Aproximación lineal por tramos a comportamientos no lineales : estimación de señales de nivel y crecimiento

Author

Listed:
  • Luis J. Alvarez

    (Banco de España)

  • Juan C. Delrieu

    (Banco de España)

  • Antoni Espasa

    (Universidad Carlos III)

Abstract

The aim of the paper is to obtain a relaible indicator of the level and growth rate of an economic variable, when there is a trend break. This is a frequent phenomenon and has implications for short-term analysis and forecasting, besides rendering more difficult signal extraction. We propose a model with trend breaks.

Suggested Citation

  • Luis J. Alvarez & Juan C. Delrieu & Antoni Espasa, 1992. "Aproximación lineal por tramos a comportamientos no lineales : estimación de señales de nivel y crecimiento," Working Papers 9226, Banco de España.
    • Handle: RePEc:bde:wpaper:9226
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    References listed on IDEAS

    as
    1. Burridge, Peter & Wallis, Kenneth F, 1984. "Unobserved-Components Models for Seasonal Adjustment Filters," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 350-359, October.
    2. S. R. Brubacher & G. Tunnicliffe Wilson, 1976. "Interpolating Time Series with Application to the Estimation of Holiday Effects on Electricity Demand," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 107-116, June.
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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