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Orientador(es)
Resumo(s)
This working paper proposes a new, practical method to compute the non-linear Mosheiov-Raveh (MR) filter using least absolute deviations (LAD) instead of the linear programming approach proposed by these two authors. This paper is embodied with an implementation in the R programming language of the proposed method which facilitates the computation of the MR filter in current applications to produce a robust estimate, namely, of the GDP trend growth. This technique may be appropriate to deal with non linear time series or structural changes.
Descrição
Palavras-chave
Business cycles Non linear time series Robust filtering Software