Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters:
This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision p...
Gespeichert in:
1. Verfasser: | |
---|---|
Weitere Verfasser: | |
Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Paris
OECD Publishing
2011
|
Schriftenreihe: | OECD Statistics Working Papers
|
Schlagworte: | |
Online-Zugang: | Volltext |
Zusammenfassung: | This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision performance in a simulated real time experiment. Our goal is to find a robust method that gives early turning point signals and steady turning point signals. The revision performance of the methods has been evaluated according to bias, overall revision size and signal stability measures. In a second phase, we investigate if revision performance is improved using stabilizing forecasts or by changing the cycle estimation window from the baseline 6 and 96 months (i.e. filtering out high frequency noise with a cycle length shorter than 6 months and removing trend components with cycle length longer than 96 months) to 12 and 120 months. The results show that, for all tested time series, the PAT de-trending method is outperformed by both the HP or CF filter. In addition, the results indicate that the HP filter outperforms the CF filter in turning point signal stability but has a weaker performance in absolute numerical precision. Short horizon stabilizing forecasts tend to improve revision characteristics of both methods and the changed filter window also delivers more robust turning point estimates |
Beschreibung: | 1 Online-Ressource (26 Seiten) 21 x 29.7cm |
DOI: | 10.1787/5kg9srt7f8g0-en |
Internformat
MARC
LEADER | 00000nam a2200000zc 4500 | ||
---|---|---|---|
001 | BV047936750 | ||
003 | DE-604 | ||
007 | cr|uuu---uuuuu | ||
008 | 220413s2011 xx o|||| 00||| eng d | ||
024 | 7 | |a 10.1787/5kg9srt7f8g0-en |2 doi | |
035 | |a (ZDB-13-SOC)061248754 | ||
035 | |a (OCoLC)1312695582 | ||
035 | |a (DE-599)BVBBV047936750 | ||
040 | |a DE-604 |b ger |e aacr | ||
041 | 0 | |a eng | |
049 | |a DE-384 |a DE-91 |a DE-473 |a DE-824 |a DE-29 |a DE-739 |a DE-355 |a DE-20 |a DE-1028 |a DE-1049 |a DE-188 |a DE-521 |a DE-861 |a DE-898 |a DE-92 |a DE-573 |a DE-19 | ||
100 | 1 | |a Nilsson, Ronny |e Verfasser |4 aut | |
245 | 1 | 0 | |a Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters |c Ronny Nilsson and Gyorgy Gyomai |
264 | 1 | |a Paris |b OECD Publishing |c 2011 | |
300 | |a 1 Online-Ressource (26 Seiten) |c 21 x 29.7cm | ||
336 | |b txt |2 rdacontent | ||
337 | |b c |2 rdamedia | ||
338 | |b cr |2 rdacarrier | ||
490 | 0 | |a OECD Statistics Working Papers | |
520 | |a This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision performance in a simulated real time experiment. Our goal is to find a robust method that gives early turning point signals and steady turning point signals. The revision performance of the methods has been evaluated according to bias, overall revision size and signal stability measures. In a second phase, we investigate if revision performance is improved using stabilizing forecasts or by changing the cycle estimation window from the baseline 6 and 96 months (i.e. filtering out high frequency noise with a cycle length shorter than 6 months and removing trend components with cycle length longer than 96 months) to 12 and 120 months. The results show that, for all tested time series, the PAT de-trending method is outperformed by both the HP or CF filter. In addition, the results indicate that the HP filter outperforms the CF filter in turning point signal stability but has a weaker performance in absolute numerical precision. Short horizon stabilizing forecasts tend to improve revision characteristics of both methods and the changed filter window also delivers more robust turning point estimates | ||
650 | 4 | |a Economics | |
700 | 1 | |a Gyomai, Gyorgy |4 ctb | |
856 | 4 | 0 | |u https://doi.org/10.1787/5kg9srt7f8g0-en |x Verlag |z kostenfrei |3 Volltext |
912 | |a ZDB-13-SOC | ||
943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033318244 |
Datensatz im Suchindex
_version_ | 1818806114791194624 |
---|---|
adam_text | |
adam_txt | |
any_adam_object | |
any_adam_object_boolean | |
author | Nilsson, Ronny |
author2 | Gyomai, Gyorgy |
author2_role | ctb |
author2_variant | g g gg |
author_facet | Nilsson, Ronny Gyomai, Gyorgy |
author_role | aut |
author_sort | Nilsson, Ronny |
author_variant | r n rn |
building | Verbundindex |
bvnumber | BV047936750 |
collection | ZDB-13-SOC |
ctrlnum | (ZDB-13-SOC)061248754 (OCoLC)1312695582 (DE-599)BVBBV047936750 |
discipline | Wirtschaftswissenschaften |
discipline_str_mv | Wirtschaftswissenschaften |
doi_str_mv | 10.1787/5kg9srt7f8g0-en |
format | Electronic eBook |
fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000zc 4500</leader><controlfield tag="001">BV047936750</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220413s2011 xx o|||| 00||| eng d</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1787/5kg9srt7f8g0-en</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-13-SOC)061248754</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1312695582</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV047936750</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-91</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-1028</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-861</subfield><subfield code="a">DE-898</subfield><subfield code="a">DE-92</subfield><subfield code="a">DE-573</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Nilsson, Ronny</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters</subfield><subfield code="c">Ronny Nilsson and Gyorgy Gyomai</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Paris</subfield><subfield code="b">OECD Publishing</subfield><subfield code="c">2011</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (26 Seiten)</subfield><subfield code="c">21 x 29.7cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">OECD Statistics Working Papers</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision performance in a simulated real time experiment. Our goal is to find a robust method that gives early turning point signals and steady turning point signals. The revision performance of the methods has been evaluated according to bias, overall revision size and signal stability measures. In a second phase, we investigate if revision performance is improved using stabilizing forecasts or by changing the cycle estimation window from the baseline 6 and 96 months (i.e. filtering out high frequency noise with a cycle length shorter than 6 months and removing trend components with cycle length longer than 96 months) to 12 and 120 months. The results show that, for all tested time series, the PAT de-trending method is outperformed by both the HP or CF filter. In addition, the results indicate that the HP filter outperforms the CF filter in turning point signal stability but has a weaker performance in absolute numerical precision. Short horizon stabilizing forecasts tend to improve revision characteristics of both methods and the changed filter window also delivers more robust turning point estimates</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Gyomai, Gyorgy</subfield><subfield code="4">ctb</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1787/5kg9srt7f8g0-en</subfield><subfield code="x">Verlag</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033318244</subfield></datafield></record></collection> |
id | DE-604.BV047936750 |
illustrated | Not Illustrated |
index_date | 2024-07-03T19:35:06Z |
indexdate | 2024-12-18T19:04:38Z |
institution | BVB |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033318244 |
oclc_num | 1312695582 |
open_access_boolean | 1 |
owner | DE-384 DE-91 DE-BY-TUM DE-473 DE-BY-UBG DE-824 DE-29 DE-739 DE-355 DE-BY-UBR DE-20 DE-1028 DE-1049 DE-188 DE-521 DE-861 DE-898 DE-BY-UBR DE-92 DE-573 DE-19 DE-BY-UBM |
owner_facet | DE-384 DE-91 DE-BY-TUM DE-473 DE-BY-UBG DE-824 DE-29 DE-739 DE-355 DE-BY-UBR DE-20 DE-1028 DE-1049 DE-188 DE-521 DE-861 DE-898 DE-BY-UBR DE-92 DE-573 DE-19 DE-BY-UBM |
physical | 1 Online-Ressource (26 Seiten) 21 x 29.7cm |
psigel | ZDB-13-SOC |
publishDate | 2011 |
publishDateSearch | 2011 |
publishDateSort | 2011 |
publisher | OECD Publishing |
record_format | marc |
series2 | OECD Statistics Working Papers |
spelling | Nilsson, Ronny Verfasser aut Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters Ronny Nilsson and Gyorgy Gyomai Paris OECD Publishing 2011 1 Online-Ressource (26 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Statistics Working Papers This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision performance in a simulated real time experiment. Our goal is to find a robust method that gives early turning point signals and steady turning point signals. The revision performance of the methods has been evaluated according to bias, overall revision size and signal stability measures. In a second phase, we investigate if revision performance is improved using stabilizing forecasts or by changing the cycle estimation window from the baseline 6 and 96 months (i.e. filtering out high frequency noise with a cycle length shorter than 6 months and removing trend components with cycle length longer than 96 months) to 12 and 120 months. The results show that, for all tested time series, the PAT de-trending method is outperformed by both the HP or CF filter. In addition, the results indicate that the HP filter outperforms the CF filter in turning point signal stability but has a weaker performance in absolute numerical precision. Short horizon stabilizing forecasts tend to improve revision characteristics of both methods and the changed filter window also delivers more robust turning point estimates Economics Gyomai, Gyorgy ctb https://doi.org/10.1787/5kg9srt7f8g0-en Verlag kostenfrei Volltext |
spellingShingle | Nilsson, Ronny Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters Economics |
title | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters |
title_auth | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters |
title_exact_search | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters |
title_exact_search_txtP | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters |
title_full | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters Ronny Nilsson and Gyorgy Gyomai |
title_fullStr | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters Ronny Nilsson and Gyorgy Gyomai |
title_full_unstemmed | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters Ronny Nilsson and Gyorgy Gyomai |
title_short | Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters |
title_sort | cycle extraction a comparison of the phase average trend method the hodrick prescott and christiano fitzgerald filters |
topic | Economics |
topic_facet | Economics |
url | https://doi.org/10.1787/5kg9srt7f8g0-en |
work_keys_str_mv | AT nilssonronny cycleextractionacomparisonofthephaseaveragetrendmethodthehodrickprescottandchristianofitzgeraldfilters AT gyomaigyorgy cycleextractionacomparisonofthephaseaveragetrendmethodthehodrickprescottandchristianofitzgeraldfilters |