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A Simple Heteroscedasticity Removing Filter
Stockholm University, Faculty of Social Sciences, Department of Statistics.
Stockholm University, Faculty of Social Sciences, Department of Statistics.
2012 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 41, no 2, 281-299 p.Article in journal (Refereed) Published
Abstract [en]

In this article, 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 color white noise.

Place, publisher, year, edition, pages
2012. Vol. 41, no 2, 281-299 p.
Keyword [en]
Economic growth, Heteroscedasticity, The Hodrick-Prescott filter, Variance stabilizing filters
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:su:diva-79735DOI: 10.1080/03610926.2010.521289ISI: 000304522000007OAI: oai:DiVA.org:su-79735DiVA: diva2:551489
Note

AuthorCount:2;

Available from: 2012-09-11 Created: 2012-09-11 Last updated: 2017-12-07Bibliographically approved

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