Measuring Business Cycles in Economic Time Series (2001) (Lecture Notes in Statistics #154)
By: and
Sign Up Now!
Already a Member? Log In
You must be logged into UK education collection to access this title.
Learn about membership options,
or view our freely available titles.
- Synopsis
- 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.
- Copyright:
- 2001
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9781461301295
- Related ISBNs:
- 9780387951126
- Publisher:
- Springer New York
- Date of Addition:
- 02/24/21
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
Reviews
Other Books
- by Regina Kaiser
- by Agustin Maravall
- in Nonfiction
- in Business and Finance
- in Mathematics and Statistics