IDEAS home Printed from https://ideas.repec.org/p/sbp/wpaper/87.html
   My bibliography  Save this paper

Performance Comparison of Modified HP Filter, Wavelet Analysis and Empirical Mode Decomposition for Smoothing Macroeconomic Time Series

Author

Listed:
  • Javed Iqbal

    () (State Bank of Pakistan)

  • Muhammad Nadim Hanif

    () (State Bank of Pakistan)

Abstract

We compare performance of modified HP filter, wavelet analysis and empirical mode decomposition. Our simulation study results suggest that modified HP filter performs better for an overall time series. However, in the middle (of time series) wavelet analysis performs best. Wavelet analysis based filtering has highest ‘end points bias (EPB)’. However, it performs better when we extrapolate the subject time series to lower the EPB. Study based on observed data of real income, investment and consumption shows that the autoregressive properties and multivariate analytics of cyclical components depend upon filtering technique.

Suggested Citation

  • Javed Iqbal & Muhammad Nadim Hanif, 2017. "Performance Comparison of Modified HP Filter, Wavelet Analysis and Empirical Mode Decomposition for Smoothing Macroeconomic Time Series," SBP Working Paper Series 87, State Bank of Pakistan, Research Department.
  • Handle: RePEc:sbp:wpaper:87
    as

    Download full text from publisher

    File URL: http://www.sbp.org.pk/publications/wpapers/2017/wp87.pdf
    File Function: First version, 2017
    Download Restriction: no

    More about this item

    Keywords

    Business Cycle; Smoothing Macro Time Series; Modified HP Filter; Wavelet Analysis; End Point Bias in HP Filter; Simulation; Cross Country Study.;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sbp:wpaper:87. 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: (Faisal Saleem). General contact details of provider: http://edirc.repec.org/data/sbpgvpk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.