Measuring Business Cycles in Economic Time Series

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 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.

General

ISBN		9780387951126
Fiction/Non-Fiction		Non-Fiction
Publisher		Springer Verlag
Pages		190
List Price		$114.00
Author		Kaiser, Regina Maravall, Agustin
Publication Date		12/01/2000
Release Status		In Print
Format		Paperback
Language		English
Measurements		Height: 8.25 Inches (US) Width: 6 Inches (US) Thickness: 0.5 Inches (US) Unit Weight: 0.65 Pounds (US)
Series		Lecture Notes in Statistics