Overview

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.

Full Product Details

Author:   Regina Kaiser ,  Agustin Maravall
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 2001
Volume:   154
Dimensions:   Width: 15.50cm , Height: 1.00cm , Length: 23.50cm
Weight:   0.650kg
ISBN:  

9780387951126

ISBN 10:   0387951121
Pages:   190
Publication Date:   17 November 2000
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Awaiting stock  
The supplier is currently out of stock of this item. It will be ordered for you and placed on backorder. Once it does come back in stock, we will ship it out for you.

Table of Contents

Reviews

From the reviews: <p>MATHEMATICAL REVIEWS <p> Altogether this book is more on the mathematical side, it is well written following the same idea throughout and contains many exercises which complete the different topics. The text concentrates on the approach of the authorsa ]I enjoyed reading this nicely written book which can certainly be recommended to all mathematically oriented statisticians interested in the subject.

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions