Measuring Business Cycles in Economic Time Series (Lecture Notes in Statistics) Regina Kaiser

ISBN:

Published: December 1st 2000

Kindle Edition

190 pages


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Measuring Business Cycles in Economic Time Series (Lecture Notes in Statistics)  by  Regina Kaiser

Measuring Business Cycles in Economic Time Series (Lecture Notes in Statistics) by Regina Kaiser
December 1st 2000 | Kindle Edition | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 190 pages | ISBN: | 8.22 Mb

This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of theMoreThis book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series.

Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.



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