https://www.r-econometrics.com/tags/empirical-mode-decomposition/ Recent content in empirical-mode-decomposition on r-econometrics Hugo -- gohugo.io en-us Thu, 27 Dec 2018 00:00:00 +0000 https://www.r-econometrics.com/timeseries/economic-cycle-extraction/ Thu, 27 Dec 2018 00:00:00 +0000 https://www.r-econometrics.com/timeseries/economic-cycle-extraction/ The analysis of economic time series often requires the extraction of their cyclical components. This post presents some methods, which can be used to decompose time series into their different components. It is based on the chapter on business cycles by Stock and Watson (1999) in the Handbook of Macroeconomics, but also presents some more recent methods like Hamilton’s (2018) alternative to the HP-filter, wavelet filtering and empirical mode decomposition.