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Hodrick–Prescott Filter
The Hodrick–Prescott filter (also known as Hodrick–Prescott decomposition) is a mathematical tool used in macroeconomics, especially in real business cycle theory, to remove the cyclical component of a time series from raw data. It is used to obtain a smoothed-curve representation of a time series, one that is more sensitive to long-term than to short-term fluctuations. The adjustment of the sensitivity of the trend to short-term fluctuations is achieved by modifying a multiplier \lambda. The filter was popularized in the field of economics in the 1990s by economists Robert J. Hodrick and Nobel Memorial Prize winner Edward C. Prescott, though it was first proposed much earlier by E. T. Whittaker in 1923. The equation The reasoning for the methodology uses ideas related to the decomposition of time series. Let y_t\, for t = 1, 2, ..., T\, denote the logarithms of a time series variable. The series y_t\, is made up of a trend component \tau_t, a cyclical component c_t, and an e ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Macroeconomics
Macroeconomics (from the Greek prefix ''makro-'' meaning "large" + ''economics'') is a branch of economics dealing with performance, structure, behavior, and decision-making of an economy as a whole. For example, using interest rates, taxes, and government spending to regulate an economy's growth and stability. This includes regional, national, and global economies. According to a 2018 assessment by economists Emi Nakamura and Jón Steinsson, economic "evidence regarding the consequences of different macroeconomic policies is still highly imperfect and open to serious criticism." Macroeconomists study topics such as Gross domestic product, GDP (Gross Domestic Product), unemployment (including Unemployment#Measurement, unemployment rates), national income, price index, price indices, output (economics), output, Consumption (economics), consumption, inflation, saving, investment (macroeconomics), investment, Energy economics, energy, international trade, and international finance. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Real Business Cycle Theory
Real business-cycle theory (RBC theory) is a class of new classical macroeconomics models in which business-cycle fluctuations are accounted for by real (in contrast to nominal) shocks. Unlike other leading theories of the business cycle, RBC theory sees business cycle fluctuations as the efficient response to exogenous changes in the real economic environment. That is, the level of national output necessarily maximizes ''expected'' utility, and governments should therefore concentrate on long-run structural policy changes and not intervene through discretionary fiscal or monetary policy designed to actively smooth out economic short-term fluctuations. According to RBC theory, business cycles are therefore "real" in that they do not represent a failure of markets to clear but rather reflect the most efficient possible operation of the economy, given the structure of the economy. RBC theory is associated with freshwater economics (the Chicago School of Economics in the neoclas ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Series
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart). Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series ''analysis'' comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series ''forecasting' ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Robert J
The name Robert is an ancient Germanic given name, from Proto-Germanic "fame" and "bright" (''Hrōþiberhtaz''). Compare Old Dutch ''Robrecht'' and Old High German ''Hrodebert'' (a compound of '' Hruod'' ( non, Hróðr) "fame, glory, honour, praise, renown" and ''berht'' "bright, light, shining"). It is the second most frequently used given name of ancient Germanic origin. It is also in use as a surname. Another commonly used form of the name is Rupert. After becoming widely used in Continental Europe it entered England in its Old French form ''Robert'', where an Old English cognate form (''Hrēodbēorht'', ''Hrodberht'', ''Hrēodbēorð'', ''Hrœdbœrð'', ''Hrœdberð'', ''Hrōðberχtŕ'') had existed before the Norman Conquest. The feminine version is Roberta. The Italian, Portuguese, and Spanish form is Roberto. Robert is also a common name in many Germanic languages, including English, German, Dutch, Norwegian, Swedish, Scots, Danish, and Icelandic. It can be use ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Nobel Prize In Economics
The Nobel Memorial Prize in Economic Sciences, officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel ( sv, Sveriges riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), is an economics award administered by the Nobel Foundation. Although not one of the five Nobel Prizes which were established by Alfred Nobel's will in 1895, it is commonly referred to as the Nobel Prize in Economics. The winners of the Nobel Memorial Prize in Economic Sciences are chosen in a similar way, are announced along with the Nobel Prize recipients, and the prize is presented at the Nobel Prize Award Ceremony. The award was established in 1968 by an endowment "in perpetuity" from Sweden's central bank, Sveriges Riksbank, to commemorate the bank's 300th anniversary. It is administered and referred to along with the Nobel Prizes by the Nobel Foundation. Laureates in the Memorial Prize in Economics are selected by the Royal Swedish Academy of Sciences. [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Edward C
Edward is an English given name. It is derived from the Anglo-Saxon name ''Ēadweard'', composed of the elements '' ēad'' "wealth, fortune; prosperous" and '' weard'' "guardian, protector”. History The name Edward was very popular in Anglo-Saxon England, but the rule of the Norman and Plantagenet dynasties had effectively ended its use amongst the upper classes. The popularity of the name was revived when Henry III named his firstborn son, the future Edward I, as part of his efforts to promote a cult around Edward the Confessor, for whom Henry had a deep admiration. Variant forms The name has been adopted in the Iberian peninsula since the 15th century, due to Edward, King of Portugal, whose mother was English. The Spanish/Portuguese forms of the name are Eduardo and Duarte. Other variant forms include French Édouard, Italian Edoardo and Odoardo, German, Dutch, Czech and Romanian Eduard and Scandinavian Edvard. Short forms include Ed, Eddy, Eddie, Ted, Teddy and Ned. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Decomposition Of Time Series
The decomposition of time series is a statistical task that deconstructs a time series into several components, each representing one of the underlying categories of patterns. There are two principal types of decomposition, which are outlined below. Decomposition based on rates of change This is an important technique for all types of time series analysis, especially for seasonal adjustment. It seeks to construct, from an observed time series, a number of component series (that could be used to reconstruct the original by additions or multiplications) where each of these has a certain characteristic or type of behavior. For example, time series are usually decomposed into: *T_t, the trend component at time ''t'', which reflects the long-term progression of the series (secular variation). A trend exists when there is a persistent increasing or decreasing direction in the data. The trend component does not have to be linear. *C_t, the cyclical component at time ''t'', which refle ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Lag Operator
In time series analysis, the lag operator (L) or backshift operator (B) operates on an element of a time series to produce the previous element. For example, given some time series :X= \ then : L X_t = X_ for all t > 1 or similarly in terms of the backshift operator ''B'': B X_t = X_ for all t > 1. Equivalently, this definition can be represented as : X_t = L X_ for all t \geq 1 The lag operator (as well as backshift operator) can be raised to arbitrary integer powers so that : L^ X_ = X_ and : L^k X_ = X_. Lag polynomials Polynomials of the lag operator can be used, and this is a common notation for ARMA (autoregressive moving average) models. For example, : \varepsilon_t = X_t - \sum_^p \varphi_i X_ = \left(1 - \sum_^p \varphi_i L^i\right) X_t specifies an AR(''p'') model. A polynomial of lag operators is called a lag polynomial so that, for example, the ARMA model can be concisely specified as : \varphi (L) X_t = \theta (L) \varepsilon_t where \varphi (L) ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Moving Average
In statistics, a moving average (rolling average or running average) is a calculation to analyze data points by creating a series of averages of different subsets of the full data set. It is also called a moving mean (MM) or rolling mean and is a type of finite impulse response filter. Variations include: simple, cumulative, or weighted forms (described below). Given a series of numbers and a fixed subset size, the first element of the moving average is obtained by taking the average of the initial fixed subset of the number series. Then the subset is modified by "shifting forward"; that is, excluding the first number of the series and including the next value in the subset. A moving average is commonly used with time series data to smooth out short-term fluctuations and highlight longer-term trends or cycles. The threshold between short-term and long-term depends on the application, and the parameters of the moving average will be set accordingly. It is also used in economics ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
James D
James is a common English language surname and given name: *James (name), the typically masculine first name James * James (surname), various people with the last name James James or James City may also refer to: People * King James (other), various kings named James * Saint James (other) * James (musician) * James, brother of Jesus Places Canada * James Bay, a large body of water * James, Ontario United Kingdom * James College, a college of the University of York United States * James, Georgia, an unincorporated community * James, Iowa, an unincorporated community * James City, North Carolina * James City County, Virginia ** James City (Virginia Company) ** James City Shire * James City, Pennsylvania * St. James City, Florida Arts, entertainment, and media * ''James'' (2005 film), a Bollywood film * ''James'' (2008 film), an Irish short film * ''James'' (2022 film), an Indian Kannada-language film * James the Red Engine, a character in ''Thomas the Tank En ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
University Of California, San Diego
The University of California, San Diego (UC San Diego or colloquially, UCSD) is a public university, public Land-grant university, land-grant research university in San Diego, California. Established in 1960 near the pre-existing Scripps Institution of Oceanography, UC San Diego is the southernmost of the ten campuses of the University of California, and offers over 200 undergraduate and graduate degree programs, enrolling 33,096 undergraduate and 9,872 graduate students. The university occupies near the coast of the Pacific Ocean, with the main campus resting on approximately . UC San Diego is ranked among the best universities in the world by major college and university rankings. UC San Diego consists of twelve undergraduate, graduate and professional schools as well as seven undergraduate residential colleges. It received over 140,000 applications for undergraduate admissions in Fall 2021, making it the second most applied-to university in the United States. UC San Diego H ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Band-pass Filter
A band-pass filter or bandpass filter (BPF) is a device that passes frequencies within a certain range and rejects (attenuates) frequencies outside that range. Description In electronics and signal processing, a filter is usually a two-port circuit or device which removes frequency components of a signal (an alternating voltage or current). A band-pass filter allows through components in a specified band of frequencies, called its ''passband'' but blocks components with frequencies above or below this band. This contrasts with a high-pass filter, which allows through components with frequencies above a specific frequency, and a low-pass filter, which allows through components with frequencies below a specific frequency. In digital signal processing, in which signals represented by digital numbers are processed by computer programs, a band-pass filter is a computer algorithm that performs the same function. The term band-pass filter is also used for optical filters, sh ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
