Measuring business cycles in economic time series /
Kaiser, Regina.
Measuring business cycles in economic time series / Regina Kaiser and Agustâin Maravall. - New York : Springer, c2001. - viii, 190 p. : ill. ; 24 cm. + pbk. - Lecture notes in statistics ; 154 . - Lecture notes in statistics (Springer-Verlag) ; v. 154. .
Includes bibliographical references (pages 177-183) and indexes.
Introduction and brief summary -- A brief review of applied time series analysis -- ARIMA models and signal extraction -- Detrending and the Hodrick-Prescott Filter -- Some basic limitations of the Hodrick-Prescott filter -- Improving the Hodrick-Prescott filter -- Hodrick-Prescott filtering within a model-based approach.
0387951121
00059552
Business cycles.
Time-series analysis.
338.542
Measuring business cycles in economic time series / Regina Kaiser and Agustâin Maravall. - New York : Springer, c2001. - viii, 190 p. : ill. ; 24 cm. + pbk. - Lecture notes in statistics ; 154 . - Lecture notes in statistics (Springer-Verlag) ; v. 154. .
Includes bibliographical references (pages 177-183) and indexes.
Introduction and brief summary -- A brief review of applied time series analysis -- ARIMA models and signal extraction -- Detrending and the Hodrick-Prescott Filter -- Some basic limitations of the Hodrick-Prescott filter -- Improving the Hodrick-Prescott filter -- Hodrick-Prescott filtering within a model-based approach.
0387951121
00059552
Business cycles.
Time-series analysis.
338.542