Measuring Business Cycles in Economic Time Series 1

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Measuring Business Cycles in Economic Time Series

Regina Kaiser • Agustin Maravall • R Kaiser

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190 sidor
2000

The purpose of the manuscript is to outline and demonstrate problems with the use of the HP filter, and to propose an alternative strategy for inferring cyclical behavior from a time series that features seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series in question with forecasts and backcasts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented in the paper using artificial and actual data demonstrate the superiority of the alternative strategy.

Författare: Regina Kaiser, Agustin Maravall, R Kaiser
Format: Pocket/Paperback
ISBN: 9780387951126
Språk: Engelska
Antal sidor: 190
Utgivningsdatum: 2000-11-17
Förlag: Springer-Verlag New York Inc.