Performance of short-term trend predictors for current economic analysis

Olivier Darné and Estelle Dagum

Economics Bulletin, 2009, vol. 29, issue 1, 79-89

Abstract: We study the performance of several short-term trend estimators for current economic analysis. These estimators are available in X11-ARIMA, X12-ARIMA, TRAMO-SEATS and STAMP. We also include two other trend-cycle estimators obtained by post-processing seasonally adjusted data with X11ARIMA, namely, a modified Henderson nonlinear filter by Dagum (1996) DMH, and a new modified version of it, DMH-D. The estimators are applied to a number of simulated non-seasonal data of various levels of variability.

Date: 2009-02-10
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