Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104229
Authors: 
Schlicht, Ekkehart
Year of Publication: 
2007
Series/Report no.: 
Munich Discussion Paper 2007-18
Abstract: 
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem.
Subjects: 
Trend extraction
missing observations
gaps
Hodrick-Prescott filter
Leser filter
spline
time-series
smoothing
interpolation.
JEL: 
C22
C32
C63
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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