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|
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- Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Banco de Espa�a Working Papers 0012, Banco de Espa�a.
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