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引用次数: 0
摘要
摘要 全球金融危机和科维德-19 经济衰退再次引发了有关宏观经济数据趋势周期发现的讨论，而最近的助推技术将流行的霍德里克-普雷斯科特滤波器升级为适合数据丰富和快速计算环境的现代机器学习设备。本文将 boosting 的趋势判断能力扩展到高阶积分过程和具有局部统一根的时间序列。该理论是通过理解提升对简单指数函数的渐近效果而建立的。鉴于 FRED 数据库中的时间序列展现出各种动态模式，助推法能及时捕捉危机时的衰退和随后的复苏。
The boosted Hodrick-Prescott filter is more general than you might think
The global financial crisis and Covid-19 recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular Hodrick-Prescott filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the asymptotic effect of boosting on a simple exponential function. Given a universe of time series in FRED databases that exhibit various dynamic patterns, boosting timely captures downturns at crises and recoveries that follow.
期刊介绍：
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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