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The local quadratic trend model
Author(s) -
Harvey Andrew
Publication year - 2009
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.1144
Subject(s) - quadratic equation , econometrics , series (stratigraphy) , quadratic model , hodrick–prescott filter , frequency domain , filter (signal processing) , computer science , term (time) , time series , mathematics , business cycle , economics , statistics , macroeconomics , paleontology , physics , geometry , response surface methodology , quantum mechanics , computer vision , biology
The local quadratic trend model provides a flexible response to underlying movements in a macroeconomic time series in its estimates of level and change. If the underlying movements are thought of as a trend plus cycle, an estimate of the cycle may be obtained from the quadratic term. Estimating the cycle in this way may offer a useful alternative to other model‐based methods of signal extraction, particularly when the series is short. The properties of the filter used to extract the cycle are analysed in the frequency domain and the technique is illustrated with macroeconomic time series from several countries. Copyright © 2009 John Wiley & Sons, Ltd.