Zur Approximation der Trend-Zyklus-Komponente am aktuellen Rand einer Zeitreihe / A new Approach to Approximate the Trend-Cyclical-Component at the Current End of a Time Series

Goldrian Georg and Lehne Birgit
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Lehne Birgit: ifo Institut für Wirtschaftsforschung, Poschingerstraße 5, D-81631 München

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, vol. 219, issue 3-4, 344-356

Abstract: In this paper, the authors compare a trigonometrically designed low-pass filter with the Hodrick- Prescott filter and a conventional moving average. The authors examine by means of transfer functions, some practical applications and in comprehensive stochastic simulations how well the three filters extract the current business cycle development of economic time-series. Within the framework of the simulations the correlation between the true and the estimated component is measured. The analysis show that the trigonometrically designed filter represents the current cyclical information more unbiased and reliable than the two other filters. Besides, it delivers early turning point signals. The new filter performs even better, if it is used in interaction with the estimation of a seasonal component. Especially for time-series showing not too high irregular fluctuations, the advantage of a directly approximated cyclical component increases against the blurred seasonally adjusted time-series.

Keywords: Low-pass filter; Hodrick-Prescott filter; seasonal adjustment; time series analysis (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:219:y:1999:i:3-4:p:344-356

DOI: 10.1515/jbnst-1999-3-423

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