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Comparison of Dettrending Methods
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Business cycles, detrending methods
National Category
Other Social Sciences not elsewhere specified
Identifiers
URN: urn:nbn:se:uu:diva-175493OAI: oai:DiVA.org:uu-175493DiVA: diva2:531810
Subject / course
Statistics
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2012-06-25 Created: 2012-06-08 Last updated: 2012-06-25Bibliographically approved

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Comparison of detrending methods(783 kB)4075 downloads
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf