Seasonal decomposition with a modified Hodrick-Prescott filter
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References listed on IDEAS
- Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers 0012, Banco de España;Working Papers Homepage.
- Kaiser, Regina & Maravall, Agustín, 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.
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Keywordsseasonal decomposition; Hodrick-Prescott filter; quarterly GDP;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-08-06 (All new papers)
- NEP-ECM-2010-08-06 (Econometrics)
- NEP-ETS-2010-08-06 (Econometric Time Series)
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