Hodrick-Prescott过滤器,自动选择断点

IF 4.2 2区 经济学 Q1 ECONOMICS
Paolo Maranzano , Matteo Pelagatti
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引用次数: 0

摘要

Hodrick-Prescott过滤器是宏观经济学中一个流行的工具,用于将时间序列分解为平滑趋势和商业周期组件。过去几年,全球金融危机、2019冠状病毒病大流行和乌克兰战争等全球性事件对许多经济时间序列产生了突然的结构性影响。此外,新的法规和政策变化通常会导致类似的行为。因此,这些事件应该被趋势周期分解的趋势分量所吸收,但Hodrick-Prescott滤波器不允许中断。我们提出了对Hodrick-Prescott滤波器的修改,该滤波器考虑中断并自动选择中断发生的时间点。我们在R包中提供了新过滤器的有效实现。我们使用新的过滤器来评估意大利劳动力市场改革对不同年龄组就业的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Hodrick–Prescott filter with automatically selected breaks
The Hodrick–Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had abrupt structural impacts on many economic time series. Moreover, new regulations and policy changes generally lead to similar behaviours. Thus, those events should be absorbed by the trend component of the trend-cycle decomposition, but the Hodrick–Prescott filter does not allow for breaks. We propose a modification of the Hodrick–Prescott filter that contemplates breaks and automatically selects the time points in which the breaks occur. We provide efficient implementation of the new filter in an R package. We use our new filter to assess what Italian labour market reforms impacted employment in different age groups.
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来源期刊
Economic Modelling
Economic Modelling ECONOMICS-
CiteScore
8.00
自引率
10.60%
发文量
295
期刊介绍: Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.
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