Comparison of EMD and HP Filter for Cycle Extraction with Korean Macroeconomic Indices
순환성분 추출을 위한 EMD와 HP 필터의 비교분석: 한국의 거시 경제 지표에의 응용

Minjeong Park, Byeongchan Seong
2014 Korean Journal of Applied Statistics  
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
more » ... ose by Hodrick-Prescott filter which is the most commonly used method.
doi:10.5351/kjas.2014.27.3.431 fatcat:rpa577qukrbhvmxkt65yr5yqka