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RE: st: Filtering methods with short time series

From   Nick Cox <>
To   "''" <>
Subject   RE: st: Filtering methods with short time series
Date   Wed, 2 Feb 2011 11:26:49 +0000

I think much of the literature is coy about short time series because (1) that's the way the data often arrive and there is still a practical problem of what to say about them and (2) people who think time series analysis with short time series is intensely problematic don't usually write texts or papers on it. 

Flippancy aside, from the point of view of seasonality your sample size is 7, not 84, but it's not very clear what you can do about that, but first be cautious. 

However, in principle, you could explore the properties of whatever you do by simulating extra datasets. That would ideally require some idea of an appropriate generating process, which I can't supply. 

Also, I get the impression that you are filtering these series individually, but pooling them as longitudinal data would come to mind first to many readers of this list. 



Thanks, Jorge, Kit, and Nick for your answers. 
Regarding -cfitzrw-, I have also obtained the output from the CF filter in R and, although there are some slight differences, they are not substantial (at least in my case). The advantage is that R allows for non-RW, and I have run several tests and this RW assumption also does not seem to affect my results. 
Sorry for the confusion about the I(2) comment. I just meant to say that my series are not integrated and hence the robustness of the test to high degrees of integration, like that of an HP filter, are not something of concern to me... 
I have also used the -couliari- filter. This produces results very similar to -cfitzrw-, perhaps a bit less wavy, but not too different from each other.
My biggest concern is the short length of the series. I didn't know if there was a rule of thumb regarding the number of periods one should use to obtain "credible" trends/cycles. I also didn't know if there are any caveats to using short time series and the literature doesn't seem to be concerned on this regard.

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