Trend Extraction From Time Series With Structural Breaks and 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. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance), or if some data are missing. This note proposes a method for coping with these problems.

Keywords: dummies; gaps; Hodrick-Prescott filter; interpolation; Leser filter; missing observations; smoothing; spline; structural breaks; time-series; trend; break point; break point location (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: 2008-02-25
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Persistent link: http://EconPapers.repec.org/RePEc:lmu:muenec:2127

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