Measuring business cycles in economic time series

zbMath0958.91059MaRDI QIDQ1590285

Regina Kaiser, Agustin Maravall

Publication date: 21 December 2000

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

zbMATH Keywords

Hodrick-Prescott filterseasonal adjustmentdetrendingARIMA model based decomposition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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A Review of Some Modern Approaches to the Problem of Trend Extraction ⋮ Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria ⋮ Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness ⋮ Improved frequency selective filters ⋮ On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates ⋮ Evaluation of Recursive Detection Methods for Turning Points in Financial Time Series ⋮ Time series smoothing by penalized least squares ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ Trend estimation of financial time series ⋮ On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling

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