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Measuring Business Cycles in Economic Time Series
Kaiser, Regina; Maravall, Agustin
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Description for Measuring Business Cycles in Economic Time Series
Paperback. 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. This book presents comparisons using artificial and actual data that demonstrate the superiority of the alternative strategy. Series: Lecture Notes in Statistics. Num Pages: 198 pages, 1 colour illustrations, biography. BIC Classification: KCC; KCHS; PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 235 x 155 x 10. Weight in Grams: 650.
lengths, that could not be captured with univariate linear filters. Exam ples of research in both directions can be found in Sims (1977), Lahiri and Moore (1991), Stock and Watson (1993), and Hamilton (1994) and (1989). Although the first approach is known to present serious limitations,the new and more sophisticated methods developed in the second approach (most notably, multivariate and nonlinear extensions) are at an early stage, and have proved still unreliable, displaying poor behavior when moving away from the sample period . Despite the fact that business cycle estimation is basic to the conduct of macroeconomic policy and to ... Read more
lengths, that could not be captured with univariate linear filters. Exam ples of research in both directions can be found in Sims (1977), Lahiri and Moore (1991), Stock and Watson (1993), and Hamilton (1994) and (1989). Although the first approach is known to present serious limitations,the new and more sophisticated methods developed in the second approach (most notably, multivariate and nonlinear extensions) are at an early stage, and have proved still unreliable, displaying poor behavior when moving away from the sample period . Despite the fact that business cycle estimation is basic to the conduct of macroeconomic policy and to ... Read more
Product Details
Format
Paperback
Publication date
2000
Publisher
Springer-Verlag New York Inc. United States
Number of pages
198
Condition
New
Series
Lecture Notes in Statistics
Number of Pages
190
Place of Publication
New York, NY, United States
ISBN
9780387951126
SKU
V9780387951126
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Measuring Business Cycles in Economic Time Series
From the reviews: MATHEMATICAL REVIEWS "Altogether this book is more on the mathematical side, it is well written following the same idea throughout and contains many exercises which complete the different topics. The text concentrates on the approach of the authors…I enjoyed reading this nicely written book which can certainly be recommended to all mathematically oriented ... Read more