A Simple Heteroscedasticity Removing filter
2007 (English)Report (Other academic)
In this paper variance stabilizing filters are discussed. A new filter with nice properties is proposed which makes use of moving averages and moving standard deviations, the latter smoothed with the Hodrick-Prescott filter. This filter is compared to a GARCH-type filter. An ARIMA model is estimated for the filtered GDP series, and the parameter estimates are used in forecasting the unfiltered series. These forecasts compare well with those of ARIMA, ARFIMA and GARCH models based on the unfiltered data. The filter does not colour white noise.
Place, publisher, year, edition, pages
Stockholm: Department of Statistics, Stockholm University , 2007. , 27 p.
Research Report / Department of Statistics, Stockholm University, ISSN 0280-7564 ; 1
Economic growth, heteroscedasticity, variance stabilizing filters, the Hodrick-Prescott filter
IdentifiersURN: urn:nbn:se:su:diva-21073OAI: oai:DiVA.org:su-21073DiVA: diva2:187599