Detrending Singapore’s GDP : Beveridge–Nelson approaches.
This project examines the business cycles of Singapore spanning 31 years from 1978 to 2008 using three detrending techniques: the Hodrick-Prescott (HP) filter, Beveridge-Nelson (BN) and multivariate BN decompositions. We compare and contrast the business cycles obtained from these different methods....
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/35265 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | This project examines the business cycles of Singapore spanning 31 years from 1978 to 2008 using three detrending techniques: the Hodrick-Prescott (HP) filter, Beveridge-Nelson (BN) and multivariate BN decompositions. We compare and contrast the business cycles obtained from these different methods. Applying the HP filter as a benchmark, the results show that the multivariate BN decomposition is better suited to study Singapore business cycles, compared to the univariate BN decomposition. |
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