hodrick-prescott
Estimation of the Business Cycles Selected Methodological Problems of the Hodrick Prescott Filter Application
... However random character of observation in time series, which monitor economic activity, is only illusive from the economic point of view. The reason being high degree of indicator complexity, such as GDP. The problem ...
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Le Cycle des affaires dans les pays MENA Une Application du Filtre Hodrick Prescott
... de Hodrick-Prescott (1997) qui distingue les composantes tendancielle et cyclique, en imposant une contrainte sur la somme des déviations par rapport à la tendance (voir Encadré ...
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A novel hybrid model based on Hodrick–Prescott filter and support vector regression algorithm for optimizing stock market price prediction
... Predicting stock market price is considered as a challenging task of financial time series analysis, which is of great interest to stock investors, stock traders and applied research- ers. Many machine learning ...
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Managing the Uncertainty in the Hodrick Prescott Filter
... El presente documento modifica el filtro est´andar de Hodrick Prescott, con el fin de reducir el problema de los datos extremos en el filtro al ser usado din´amicamente. La modificaci´ on permite una ...
25
A three pole filter understanding of the average value of a Fourier series and comparison with Hodrick Prescott filter
... This paper develops a method of analyzing average value of a complex- valued function that can be represented as a Fourier series satisfying a few realistic restrictions. This method may be useful when Discrete Fourier ...
10
The Explicit Formula for the Hodrick-Prescott Filter in Finite Sample
... We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample without making any assumptions about the statistical properties of the time series. We use the results to ...
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Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick Prescott et modélisation à partir de processus markovien
... on Hodrick-Prescott filter, Kalman filter and a Markov Switching Model which, unlike linear models, allows the parameters to vary depending on the economic situation, the transitions between regimes are ...
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Investigating potential output using the Hodrick Prescott filter: an application for Malta
... However, due to the large element of noise in the data, applying the standard HP filter on the GDP series of a small open economy gives the impression that the output gap is very volatil[r] ...
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The Hodrick Prescott filter with priors: linear restrictions on HP filters
... the Hodrick & Prescott filter has been heavily criticized and might not be optimal under reasonable macoeconomic circumstances, its application is pervasive in macro-econometric ...
8
On adjusting the Hodrick-Prescott Filter for the frequency of observations
... lowed Hodrick and Prescott (1980, 1997) and used the value of 1600 for the smoothing parameter when using quarterly data, there is less agreement in the literature when moving to other ...
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Countercyclical capital buffers and real time credit to GDP gap estimates: A South African perspective
... of Hodrick-Prescott filters to real-time South African data, specifically con- structed for this study, and these gaps are mapped to countercyclical ...
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Türkiye İçin Çıktı Açığı Tahmininde Alternatif Yöntemler
... modelleri, Hodrick - Prescott filtresi, Kalman Filtresi, Gözlenmeyen bileşenler yöntemi gibi) açık bir iktisadi teoriden ziyade istatistiksel yöntemleri temel ...
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Nonlinear Trend and Purchasing Power Parity
... In neo-classical growth theory, the equilibrium path is characterized by an exponential growth. Correspondingly, the logarithm of macroeconomic indicators should follow a linear trend. The resulting cycles are ...
16
Is the NAIRU More Useful in Forecasting Inflation than the Natural Rate of Unemployment?
... the Hodrick-Prescott filter would produce one period into the future, I simply run the Hodrick-Prescott filter over the series consisting of the observed unemployment rates up to the current ...
31
Empirical evidence on inflation and unemployment in the long run
... the Hodrick-Prescott ...the Hodrick-Prescott filter is non-stationary when an I(1) series is filtered and could lead therefore to spurious ...
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The computation of the output gap in Polish economy in the light of the secular stagnation scenario (sustainability antithesis)
... Abstract: The research problem was formulated as a question: are demand-supply shocks affecting the opening up of a negative or positive output gap? The hypothesis was formulated: demand- supply shocks have a significant ...
22
Modeling the relationship between GDP and unemployment for Okun’s law specific to Jordan
... Arshad 2010 used The gap equation and technique of Hodrick-Prescott filter HP for short run analysis to investigate the presence of Okun’s 1962 relationship in the Swedish economy, where[r] ...
17
A sectoral analysis of Barbados’ GDP business cycle
... y and its permanent component, or alternatively on the growth rate of y t , represented by z 2t . As pointed out by Harding and Pagan (2004), these three alternatives have led to some confusion about the correct ...
35
The Methods of Selecting and Assessing Potential Consumers Used of by Competitive Intelligence
... Dar visai nesenai konkurencinė žvalgyba kaip tokia nebuvo žinoma. Labiau pasaulyje žinomi tokie procesai, kaip „pramoninis ar komercinis šnipinėjimas“. O veiksmai, kuriais bandoma apsiginti nuo minėtų įtakų, komercinių ...
7
Essays in Quantitative Economics and International Finance
... The economic literature has proposed several potential explanations for the observed cross-country differences in aggregate labor supply. Taxes have been suggested as a major contributor to the differences in labor ...
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