Munich Personal RePEc Archive

Seasonal decomposition with a modified Hodrick-Prescott filter

Buss, Ginters (2010): Seasonal decomposition with a modified Hodrick-Prescott filter.

[img]
Preview
PDF
MPRA_paper_24133.pdf

Download (228kB) | Preview

Abstract

I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS developed by the Bank of Spain. A case study for Latvia's quarterly gross domestic product shows the procedure is able to extract a stable seasonal component, yet allowing for structural changes in seasonality.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.