Seasonal decomposition with a modified Hodrick-Prescott filter

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 Unpublished.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: seasonal decomposition, Hodrick-Prescott filter, quarterly GDP
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods; C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions

References

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