Comparison of Dettrending Methods
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This thesis examines the difference between the extracted cyclical components of some macroeconomic time series using four popular detrending methods HP, BK, CF and FOD. We use different approaches to compare their differences. A standard examination of the cyclical component is applied. We also take a frequency domain approach and examine the sample spectra for each cycle. Moreover, impulse responses and the correlation between the cyclical components extracted by each detrending method are studied. We conclude that for quarterly data HP, BK and CF produce similar cycles. However, when considering annual data the HP diverges from the other filters. The FOD extracts cycles that are not similar to those of the other three examined filters.
Place, publisher, year, edition, pages
2012. , 35 p.
Business cycles, detrending methods
Other Social Sciences not elsewhere specified
IdentifiersURN: urn:nbn:se:uu:diva-175493OAI: oai:DiVA.org:uu-175493DiVA: diva2:531810
Subject / course
UppsokSocial and Behavioural Science, Law
Preve, Daniel, lecturer