Trend Extraction From Time Series With Structural Breaks

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 the time series contains structural breaks (such as produced by German unification for German time series, for instance). This note proposes a method for coping with this problem.

Keywords: Trend extraction; structural break; Hodrick-Prescott filter; Leser filter; spline; time-series; smoothing; interpolation. (search for similar items in EconPapers)
JEL-codes: C22 C32 C63 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2007-05

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Persistent link: http://EconPapers.repec.org/RePEc:lmu:muenec:1926

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