The local quadratic trend model

✍ Scribed by Andrew Harvey

• Publisher: John Wiley and Sons
• Year: 2010
• Tongue: English
• Weight: 360 KB
• Volume: 29
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/for.1144

✦ Synopsis

Abstract

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.