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Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien
[Estimated Changes in Prices of Coffee and Cocoa: Kalman Filter, Hodrick-Prescott Filter and Modeling from Markov Switching]

Author

Listed:
  • Bationo, Rakissiwinde
  • Hounkpodote, Hilaire

Abstract

This aim of this study is to estimate the price of coffee and cocoa using a methodology based on Hodrick-Prescott filter, Kalman filter and a Markov Switching Model which, unlike linear models, allows the parameters to vary depending on the economic situation, the transitions between regimes are governed by a Markov chain. Our results show that the Hodrick-Prescott filter gives only the general trend of the series while the Kalman filter approach the best real trend of the series. The Markov Switching Model breaks the series in the regimes. Thus, this latter model gives the probability of transition from one regime to another and then gives the average length of stay in a particular regime.

Suggested Citation

  • Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien [Estimated Changes in Prices of Coffee and Coc," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.
    • Handle: RePEc:pra:mprapa:26980
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    References listed on IDEAS

    as
    1. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 203-229.
    2. Ferrara, L., 2008. "L’apport des indicateurs de retournement cyclique à l’analyse conjoncturelle," Bulletin de la Banque de France, Banque de France, issue 171, pages 43-51.
    3. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
    4. Baghli, M. & Bouthevilain, C. & De Bandt, O. & Fraisse, H. & Le Bihan, H. & Rousseaux, P., 2002. "PIB potentiel et écart de PIB : quelques évaluations pour la France," Working papers 89, Banque de France.
    5. repec:hal:wpspec:info:hdl:2441/2129 is not listed on IDEAS
    6. repec:hal:spmain:info:hdl:2441/2129 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Hodrick-Prescott filter; Kalman filter; Markov Switching Model;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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