A Simple Heteroscedasticity Removing Filter

作者：Stockhammar Par^*; Oller Lars Erik

来源：Communications in Statistics - Theory and Methods, 2012, 41(2): 281-299.

DOI：10.1080/03610926.2010.521289

• Economic growth
• Heteroscedasticity
• The Hodrick-Prescott filter
• Variance stabilizing filters

In this article, variance stabilizing filters are discussed. A new filter with nice properties is proposed which makes use of moving averages and moving standard deviations, the latter smoothed with the Hodrick-Prescott filter. This filter is compared to a GARCH-type filter. An ARIMA model is estimated for the filtered GDP series, and the parameter estimates are used in forecasting the unfiltered series. These forecasts compare well with those of ARIMA, ARFIMA, and GARCH models based on the unfiltered data. The filter does not color white noise.

• 出版日期2012