Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104258
Authors: 
Schlicht, Ekkehart
Year of Publication: 
2008
Series/Report no.: 
Munich Discussion Paper 2008-3
Abstract: 
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance), or if some data are missing. This note proposes a method for coping with these problems.
Subjects: 
dummies
gaps
Hodrick-Prescott filter
interpolation
Leser filter
missing observations
smoothing
spline
structural breaks
time-series
trend
break point
break point location
JEL: 
C22
C32
C63
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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