Kód: 01384262
This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main ... celý popis
Nákupem získáte 167 bodů
This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.
Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Econometrics
1665 Kč
Osobní odběr Praha, Brno a 12903 dalších
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