Trend Extraction From Time Series With Missing Observations

Ekkehart Schlicht

Discussion Papers in Economics from University of Munich, Department of Economics

Abstract: Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem.

Keywords: Trend extraction; missing observations; gaps; Hodrick-Prescott filter; Leser filter; spline; time-series; smoothing; interpolation. (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 C63 (search for similar items in EconPapers)
Date: 2007-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:1927

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