Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/104412 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Munich Discussion Paper No. 2014-2
Verlag: 
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät, München
Zusammenfassung: 
On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point penalized splines within a mixed model framework offer the advantage of a data driven derivation of the penalization parameter. Nevertheless the Hodrick-Prescott filter as well as penalized splines fail to estimate trend and cycle when one deals with times series that contain structural breaks. This paper extends the technique of splines within a mixed model framework to account for break points in the data. It explains how penalized splines as mixed models can be used to avoid distortions caused by breaks and finally provides an empirical application to German data which exhibit structural breaks due to the reunification in 1990.
Schlagwörter: 
penalized splines
mixed models
structural breaks
trends
flexible penalization
JEL: 
C22
C52
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
619.85 kB





Publikationen in EconStor sind urheberrechtlich geschützt.