The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature
In this paper we use the Hodrick-Prescott filter for analysing global temperature data. We are especially concerned with a reliable estimation of the trend component at the end of the data sample. To this end we employ time-varying values for the penalization parameter. The optimal values are derived by a comparison with an ideal filter. The method is applied to temperature data for the northern hemisphere from 1850 to 2012. The main result is that for the optimal specification of the flexible penalization the trend component of temperature is still increasing, possibly with a somewhat lower pace.
|Date of creation:||2014|
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- Gourieroux,Christian & Monfort,Alain, 1997.
"Time Series and Dynamic Models,"
Cambridge University Press, number 9780521423083, December.
- Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521411462.
- McElroy, Tucker, 2008. "Matrix Formulas For Nonstationary Arima Signal Extraction," Econometric Theory, Cambridge University Press, vol. 24(04), pages 988-1009, August.
- Osborn, Denise R, 1995. "Moving Average Detrending and the Analysis of Business Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 547-558, November. Full references (including those not matched with items on IDEAS)
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