Measuring Business Cycles in Economic Time Series

Download or read book Measuring Business Cycles in Economic Time Series written by Regina Kaiser and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.