An Exploration Of Trend Cycle Decomposition Methodologies In Simulated Data
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An Exploration Of Trend Cycle Decomposition Methodologies In Simulated Data
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Author : Robert J. Hodrick
language : en
Publisher:
Release Date : 2020
An Exploration Of Trend Cycle Decomposition Methodologies In Simulated Data written by Robert J. Hodrick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This paper uses simulations to explore the properties of the HP filter of Hodrick and Prescott (1997), the BK filter of Baxter and King (1999), and the H filter of Hamilton (2018) that are designed to decompose a univariate time series into trend and cyclical components. Each simulated time series approximates the natural logarithms of U.S. Real GDP, and they are a random walk, an ARIMA model, two unobserved components models, and models with slowly changing nonstationary stochastic trends and definitive cyclical components. In basic time series, the H filter dominates the HP and BK filters in more closely characterizing the underlying framework, but in more complex models, the reverse is true.
Trend Cycle Decomposition Implications From An Exact Structural Identification
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Author : Mardi Dungey
language : en
Publisher:
Release Date : 2013
Trend Cycle Decomposition Implications From An Exact Structural Identification written by Mardi Dungey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cyclic shocks enter the trend and that identification restrictions are necessary to make this structural distinction. A reduced-form unrestricted version such as that of Morley, Nelson and Zivot (2003) is compatible with either option, but cannot distinguish which is relevant. We discuss economic interpretations and implications using US real GDP data.
A Practical Guide To Macroeconomics
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Author : Jeremy B. Rudd
language : en
Publisher: Cambridge University Press
Release Date : 2024-03-31
A Practical Guide To Macroeconomics written by Jeremy B. Rudd and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-03-31 with Business & Economics categories.
The gulf between macroeconomic theory and macroeconomic practice has never been greater. This book bridges that gap.
A Steady State Approach To Trend Cycle Decomposition
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Author : James Christopher Morley
language : en
Publisher:
Release Date : 2004
A Steady State Approach To Trend Cycle Decomposition written by James Christopher Morley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Economic forecasting categories.
The Impact Of R G On The Euro Area Government Spending Multiplier
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Author : Mario di Serio
language : en
Publisher: International Monetary Fund
Release Date : 2021-02-12
The Impact Of R G On The Euro Area Government Spending Multiplier written by Mario di Serio and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-12 with Business & Economics categories.
We compute government spending multipliers for the Euro Area (EA) contingent on the interestgrowth differential, the so-called r-g. Whether the fiscal shock occurs when r-g is positive or negative matters for the size of the multiplier. Median estimates vary conditional on the specification, but the difference between multipliers in the negative and positive r-g regimes differs systematically from zero with very high probability. Over the medium run (5 years), median cumulated multipliers range between 1.22 and 1.77 when r-g is negative, and between 0.51 and 1.26 when r-g is positive. We show that the results are not driven by the state of the business cycle, the monetary policy stance, or the level of government debt, and that the multiplier is inversely correlated with r-g. The calculations are based on the estimates of a factor-augmented interacted panel vector-autoregressive model. The econometric approach deals with several technical problems highlighted in the empirical macroeconomic literature, including the issues of fiscal foresight and limited information.
Smooth Forecast Reconciliation
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Author : Mr. Sakai Ando
language : en
Publisher: International Monetary Fund
Release Date : 2024-03-22
Smooth Forecast Reconciliation written by Mr. Sakai Ando and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-03-22 with Business & Economics categories.
How to make forecasts that (1) satisfy constraints, like accounting identities, and (2) are smooth over time? Solving this common forecasting problem manually is resource-intensive, but the existing literature provides little guidance on how to achieve both objectives. This paper proposes a new method to smooth mixed-frequency multivariate time series subject to constraints by integrating the minimum-trace reconciliation and Hodrick-Prescott filter. With linear constraints, the method has a closed-form solution, convenient for a high-dimensional environment. Three examples show that the proposed method can reproduce the smoothness of professional forecasts subject to various constraints and slightly improve forecast performance.
Trend Cycle Estimation In Economic Time Series By Filtering Methods
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Author :
language : en
Publisher:
Release Date : 1984
Trend Cycle Estimation In Economic Time Series By Filtering Methods written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with categories.
Trend Cycle Interaction In Unobserved Components Models
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Author : Max Soloschenko
language : en
Publisher:
Release Date : 2014
Trend Cycle Interaction In Unobserved Components Models written by Max Soloschenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Seasonal Adjustment Methods And Real Time Trend Cycle Estimation
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Author : Estela Bee Dagum
language : en
Publisher: Springer
Release Date : 2016-06-20
Seasonal Adjustment Methods And Real Time Trend Cycle Estimation written by Estela Bee Dagum and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-20 with Business & Economics categories.
This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
When Can Trend Cycle Decompositions Be Trusted
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Author : Manuel Gonzalez-Astudillo
language : en
Publisher:
Release Date : 2016
When Can Trend Cycle Decompositions Be Trusted written by Manuel Gonzalez-Astudillo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.