EXPONENTIAL SMOOTHING AND SPURIOUS CORRELATION - A NOTE

Authors
BLACKBURN K ORDUNA F SOLA M
Citation
K. Blackburn et al., EXPONENTIAL SMOOTHING AND SPURIOUS CORRELATION - A NOTE, Applied economics letters, 2(3), 1995, pp. 76-79
Citations number
15
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
2
Issue
3
Year of publication
1995
Pages
76 - 79
Database
ISI
SICI code
1350-4851(1995)2:3<76:ESASC->2.0.ZU;2-B
Abstract
Exponential smoothing can introduce spurious auto-correlation in detre nded data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The mo st widely-used version of exponential smoothing is the Hodrick-Prescot t low-frequency filter.