Measuring Business Cycles in Economic Time Series (Lecture Notes in Statistics)

• Authors: KAISER - Agustin Maravall - Regina Kaiser - Agustin - Regina; Maravall
• ISBN 10: 0387951121
• ISBN 13: 9780387951126
• Edition: Softcover reprint of
• Release: November 17, 2000
• Format: Paperback (198 pages)
• List Price: $99.00
• More Details
  
  

  List Price: $99.00

  Tags: Business & Investing, Economics,

  Book Description:
  This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.

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