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Trend Extraction From Time Series With Structural Breaks and Missing Observations

  • Schlicht, Ekkehart

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance), or if some data are missing. This note proposes a method for coping with these problems.

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Paper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 2127.

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Date of creation: 25 Feb 2008
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Handle: RePEc:lmu:muenec:2127
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  1. Schlicht, Ekkehart, 1981. "A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle," Munich Reprints in Economics 3374, University of Munich, Department of Economics.
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