Effect of autocorrelation when estimating the trend of a time series via penalized least squares with controlled smoothness
Author
Abstract
Suggested Citation
DOI: 10.1007/s10260-017-0389-8
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Victor M. Guerrero, 2008. "Estimating Trends with Percentage of Smoothness Chosen by the User," International Statistical Review, International Statistical Institute, vol. 76(2), pages 187-202, August.
- Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
- Guerrero, Victor M., 2007. "Time series smoothing by penalized least squares," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1225-1234, July.
- Krivobokova, Tatyana & Kauermann, Goran, 2007. "A Note on Penalized Spline Smoothing With Correlated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1328-1337, December.
- Clifford M. Hurvich & Jeffrey S. Simonoff & Chih‐Ling Tsai, 1998. "Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(2), pages 271-293.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Blöchl, Andreas, 2014. "Penalized Splines as Frequency Selective Filters - Reducing the Excess Variability at the Margins," Discussion Papers in Economics 20687, University of Munich, Department of Economics.
- Víctor M. Guerrero & Adriana Galicia‐Vázquez, 2010. "Trend estimation of financial time series," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 205-223, May.
- Bloechl, Andreas, 2014. "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics 21406, University of Munich, Department of Economics.
- Eliud Silva & Víctor M. Guerrero, 2017. "Penalized least squares smoothing of two-dimensional mortality tables with imposed smoothness," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(9), pages 1662-1679, July.
- A. ISLAS & Víctor M. GUERRERO & Eliud SILVA, 2019. "Forecasting Remittances to Mexico with a Multi-State Markov-Switching Model Applied to the Trend with Controlled Smoothness," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 38-56, March.
- Zanin, Luca & Marra, Giampiero, 2012. "Assessing the functional relationship between CO2 emissions and economic development using an additive mixed model approach," Economic Modelling, Elsevier, vol. 29(4), pages 1328-1337.
- Hans R. A. Koster & Jos N. van Ommeren & Piet Rietveld, 2016.
"Historic amenities, income and sorting of households,"
Journal of Economic Geography, Oxford University Press, vol. 16(1), pages 203-236.
- Koster, Hans R. A. & Rietveld, Piet & Van Ommeren, Jos, 2013. "Historic amenities, income and sorting of households," LSE Research Online Documents on Economics 58433, London School of Economics and Political Science, LSE Library.
- Hans R. A. Koster & Piet Rietveld & Jos Van Ommeren, 2013. "Historic Amenities, Income and Sorting of Households," SERC Discussion Papers 0124, Centre for Economic Performance, LSE.
- Bethany Everett & David Rehkopf & Richard Rogers, 2013. "The Nonlinear Relationship Between Education and Mortality: An Examination of Cohort, Race/Ethnic, and Gender Differences," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 32(6), pages 893-917, December.
- Shuichi Kawano, 2014. "Selection of tuning parameters in bridge regression models via Bayesian information criterion," Statistical Papers, Springer, vol. 55(4), pages 1207-1223, November.
- Tsimpanos, Apostolos & Tsimbos, Cleon & Kalogirou, Stamatis, 2018. "Assessing spatial variation and heterogeneity of fertility in Greece at local authority level," MPRA Paper 100406, University Library of Munich, Germany.
- Don Harding, 2010.
"Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle,"
NCER Working Paper Series
58, National Centre for Econometric Research.
- Don Harding, 2010. "Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle," Working Papers 2010.05, School of Economics, La Trobe University.
- Don Harding, 2010. "Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle," CAMA Working Papers 2010-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Don Harding, 2010. "Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle," Working Papers 2010.05, School of Economics, La Trobe University.
- Michael S. Delgado & Daniel J. Henderson & Christopher F. Parmeter, 2014.
"Does Education Matter for Economic Growth?,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 334-359, June.
- Michael S. Delgado & Daniel J. Henderson & Christopher F. Parmeter, 2011. "Does Education Matter for Economic Growth?," Working Papers 2011-13, University of Miami, Department of Economics.
- Delgado, Michael S. & Henderson, Daniel J. & Parmeter, Christopher F., 2012. "Does Education Matter for Economic Growth?," IZA Discussion Papers 7089, Institute of Labor Economics (IZA).
- Suneel Babu Chatla, 2023. "Nonparametric inference for additive models estimated via simplified smooth backfitting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(1), pages 71-97, February.
- Vincenzo Loia & Stefania Tomasiello & Alfredo Vaccaro & Jinwu Gao, 2020. "Using local learning with fuzzy transform: application to short term forecasting problems," Fuzzy Optimization and Decision Making, Springer, vol. 19(1), pages 13-32, March.
- Michael Wegener & Göran Kauermann, 2017. "Forecasting in nonlinear univariate time series using penalized splines," Statistical Papers, Springer, vol. 58(3), pages 557-576, September.
- Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005.
"Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach,"
Borradores de Economia
2605, Banco de la Republica.
- Juan Manuel Julio & Norberto Rodríguez & Hector Zárate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 347, Banco de la Republica de Colombia.
- Malloy, Elizabeth J. & Spiegelman, Donna & Eisen, Ellen A., 2009. "Comparing measures of model selection for penalized splines in Cox models," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2605-2616, May.
- Thomas M. Fullerton & Arturo Bujanda, 2018. "Commercial property values in a border metropolitan economy," Asia-Pacific Journal of Regional Science, Springer, vol. 2(2), pages 337-360, August.
- Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae, 2005. "The relationship between stock returns and volatility in international stock markets," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 650-665, December.
- Henderson, Daniel J. & Polachek, Solomon W. & Wang, Le, 2011.
"Heterogeneity in schooling rates of return,"
Economics of Education Review, Elsevier, vol. 30(6), pages 1202-1214.
- Henderson, Daniel J. & Polachek, Solomon & Wang, Le, 2011. "Heterogeneity in Schooling Rates of Return," IZA Discussion Papers 5662, Institute of Labor Economics (IZA).
More about this item
Keywords
Autoregressive process of order one; Hodrick–Prescott filter; Index of smoothness; Penalized least squares; Smoothing parameter; Trend estimation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stmapp:v:27:y:2018:i:1:d:10.1007_s10260-017-0389-8. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.