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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;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:9226
    as

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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.
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    More about this item

    Keywords

    Growth rates; trend breaks; ARIMA; Imports;

    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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