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Measuring Business Cycles in Economic Time Series (Paperback, Softcover reprint of the original 1st ed. 2001) Loot Price: R1,560
Discovery Miles 15 600
Measuring Business Cycles in Economic Time Series (Paperback, Softcover reprint of the original 1st ed. 2001): Regina Kaiser,...

Measuring Business Cycles in Economic Time Series (Paperback, Softcover reprint of the original 1st ed. 2001)

Regina Kaiser, Agustin Maravall

Series: Lecture Notes in Statistics, 154

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Loot Price R1,560 Discovery Miles 15 600 | Repayment Terms: R146 pm x 12*

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The purpose of the manuscript is to outline and demonstrate problems with the use of the HP filter, and to propose an alternative strategy for inferring cyclical behavior from a time series that features seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series in question with forecasts and backcasts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented in the paper using artificial and actual data demonstrate the superiority of the alternative strategy.

General

Imprint: Springer-Verlag New York
Country of origin: United States
Series: Lecture Notes in Statistics, 154
Release date: 2001
First published: 2001
Authors: Regina Kaiser • Agustin Maravall
Dimensions: 235 x 155 x 10mm (L x W x T)
Format: Paperback
Pages: 190
Edition: Softcover reprint of the original 1st ed. 2001
ISBN-13: 978-0-387-95112-6
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Business & Economics > Economics > Microeconomics > General
Books > Business & Economics > Economics > Econometrics > Economic statistics
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LSN: 0-387-95112-1
Barcode: 9780387951126

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