On fractional filtering versus conventional filtering in economics

Nigmatullin, Raul R. and Omay, Tolga and Baleanu, Dumitru (2010): On fractional filtering versus conventional filtering in economics. Published in: Communications in Nonlinear Science and Numerical Simulation , Vol. 15, No. 4 (4 April 2010): pp. 979-986.

Abstract

In this study, we compare the Hodrick-Prescott Filter technique concerning the Fractional filtering technique, which has recently started to be used in various applied sciences, i.e., physics, engineering, and biology. We apply these filtering techniques to the quarterly GDP data of Turkey, which span the period 1988:1 2003:2. The estimated filtered series are then compared using classical statistical tool MSE (Minimum Square Error) and with real-life evidence such as crisis periods, recessionary, or boom periods. In the second part of the study, we use generated data that exhibits the essential characteristics of economic data to see the effects of filtering on these data and trace the effects of these filtering’s on decomposed series.

• Item Type: MPRA Paper
• Language: English
• Keywords: Fractional Filtering, Hodrick-Prescott Filtering, MSE, Data Generation, Decomposition.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General

References

C10, C21, C15, C53