Seasonal decomposition with a modified Hodrick-Prescott filter
I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS developed by the Bank of Spain. A case study for Latvia's quarterly gross domestic product shows the procedure is able to extract a stable seasonal component, yet allowing for structural changes in seasonality.
|Date of creation:||28 Jul 2010|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers 0012, Banco de España;Working Papers Homepage.
- Maravall, Agustín & Kaiser, Regina, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24133. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.