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Seasonal decomposition with a modified Hodrick-Prescott filter

Ginters Buss ()

MPRA Paper from University Library of Munich, Germany

Abstract: I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS developed by the Bank of Spain. A case study for Latvia's quarterly gross domestic product shows the procedure is able to extract a stable seasonal component, yet allowing for structural changes in seasonality.

Keywords: seasonal decomposition; Hodrick-Prescott filter; quarterly GDP (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2010-07-28
New Economics Papers: this item is included in nep-ecm and nep-ets
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