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http://dx.doi.org/10.5351/KJAS.2014.27.3.431

Comparison of EMD and HP Filter for Cycle Extraction with Korean Macroeconomic Indices  

Park, Minjeong (Statistical Research Institute, Statistics Korea)
Seong, Byeongchan (Department of Applied Statistics, Chung-Ang University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.3, 2014 , pp. 431-444 More about this Journal
Abstract
We introduce the empirical model decomposition (EMD) to decompose a time series into a set of components in the time-frequency domain. By using EMD, we also extract cycle and trend components from major Korean macroeconomic indices and forecast the indices with the components combined. In order to evaluate their efficiencies, we investigate volatility, autocorrelation, persistence, Granger causality, nonstationarity, and forecasting performance. They are then compared with those by Hodrick-Prescott filter which is the most commonly used method.
Keywords
Empirical model decomposition; Hodrick-Prescott filter; time-frequency analysis;
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Times Cited By KSCI : 1  (Citation Analysis)
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