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Mend-A Mathematica package for mending time series with missing observations and structural breaks

Ekkehart Schlicht

Software in Economics from University of Munich, Department of Economics

Abstract: The package implements a method for mending time series with missing observations and structural breaks. The method is described in Ekkehart Schlicht: "Trend Extraction from Time Series with Structural Breaks and Missing Observations", Journal of the Japan Statistical Society Vol. 38 (2008), No. 2, pages 285-292, freely available at https://www.jstage.jst.go.jp/article/jjss/38/2/38_2_285/_pdf

Language: mathematica
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)
Date: 2011-05-03
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https://epub.ub.uni-muenchen.de/12227/1/Mend.zip

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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenso:12227

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