EconPapers    
Economics at your fingertips  
 

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: C14 C22 C32 C63 (search for similar items in EconPapers)
Date: 2008-02-25
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://epub.ub.uni-muenchen.de/2127/1/JJSS-Missing_Date_and_Breaks_DP.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:2127

Access Statistics for this paper

More papers in Discussion Papers in Economics from University of Munich, Department of Economics Ludwigstr. 28, 80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Tamilla Benkelberg ().

 
Page updated 2024-01-16
Handle: RePEc:lmu:muenec:2127