Median-Unbiased Optimal Smoothing and Trend Extraction

25 Pages Posted: 4 Dec 2008

See all articles by Dimitrios D. Thomakos

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics

Date Written: December 4, 2008

Abstract

Consider the problem of smoothing a time series for extracting its low frequency characteristics, collectively called its trend. This paper proposes a competitive, to existing methods, solution in choosing the optimal degree of smoothing based on the distribution of the residuals from the smooth trend. The methodology is illustrated with simulations and with an application to the U.S. real GDP series, where a comparison of the proposed methodology with the Hodrick-Prescott filter is made.

Keywords: Hodrick-Prescott filter, local linear, moving average, singular spectrum analysis, smoothing, splines, time series, trend extraction, U.S. real GDP

JEL Classification: C14, C32, E32

Suggested Citation

Thomakos, Dimitrios D., Median-Unbiased Optimal Smoothing and Trend Extraction (December 4, 2008). Available at SSRN: https://ssrn.com/abstract=1311292 or http://dx.doi.org/10.2139/ssrn.1311292

Dimitrios D. Thomakos (Contact Author)

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

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