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Volume 11
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Proceeding Paper

Beyond the Hodrick Prescott Filter: Wavelets and the Dynamics of U.S.–Mexico Trade †

by
José Gerardo Covarrubias
* and
Xuedong Liu
*
Faculty of Higher Studies Aragon, National Autonomous University of Mexico, Netzahualcóyotl 57000, Mexico
*
Authors to whom correspondence should be addressed.
†
Presented at the 11th International Conference on Time Series and Forecasting, Canaria, Spain, 16–18 July 2025.
Comput. Sci. Math. Forum 2025, 11(1), 14; https://doi.org/10.3390/cmsf2025011014
Published: 1 August 2025
(This article belongs to the Proceedings of The 11th International Conference on Time Series and Forecasting)
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Abstract

This study analyzes the evolution of the Mexico–U.S. trade balance as a seasonally adjusted time series, comparing the Hodrick–Prescott (HP) filter and wavelet analysis. The HP filter allowed the trend and cycle to be extracted from the series, while wavelets decomposed the information into different time scales, revealing short-, medium-, and long-term fluctuations. The results show that HP provides a simplified view of the trend, while wavelets more accurately capture key events and cyclical dynamics. It is concluded that wavelets offer a more robust tool for studying the volatility and persistence of economic shocks in bilateral trade.
Keywords: HP filter; wavelet analysis; Mexico–United States trade relations; trade balance HP filter; wavelet analysis; Mexico–United States trade relations; trade balance

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MDPI and ACS Style

Covarrubias, J.G.; Liu, X. Beyond the Hodrick Prescott Filter: Wavelets and the Dynamics of U.S.–Mexico Trade. Comput. Sci. Math. Forum 2025, 11, 14. https://doi.org/10.3390/cmsf2025011014

AMA Style

Covarrubias JG, Liu X. Beyond the Hodrick Prescott Filter: Wavelets and the Dynamics of U.S.–Mexico Trade. Computer Sciences & Mathematics Forum. 2025; 11(1):14. https://doi.org/10.3390/cmsf2025011014

Chicago/Turabian Style

Covarrubias, José Gerardo, and Xuedong Liu. 2025. "Beyond the Hodrick Prescott Filter: Wavelets and the Dynamics of U.S.–Mexico Trade" Computer Sciences & Mathematics Forum 11, no. 1: 14. https://doi.org/10.3390/cmsf2025011014

APA Style

Covarrubias, J. G., & Liu, X. (2025). Beyond the Hodrick Prescott Filter: Wavelets and the Dynamics of U.S.–Mexico Trade. Computer Sciences & Mathematics Forum, 11(1), 14. https://doi.org/10.3390/cmsf2025011014

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