Buss, Ginters (2010): Seasonal decomposition with a modified Hodrick-Prescott filter.
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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|
|Original Title:||Seasonal decomposition with a modified Hodrick-Prescott filter|
|Keywords:||seasonal decomposition, Hodrick-Prescott filter, quarterly GDP|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: 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
|Depositing User:||Ginters Buss|
|Date Deposited:||29. Jul 2010 00:53|
|Last Modified:||27. Feb 2013 20:22|
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