Effects of the Hodrick-Prescott filter on trend and difference stationary time series
From MaRDI portal
Publication:1349593
DOI10.1016/0165-1889(93)00781-XzbMath0875.90216OpenAlexW2020979127MaRDI QIDQ1349593
Timothy Cogley, James M. Nason
Publication date: 27 February 1997
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1889(93)00781-x
Filtering in stochastic control theory (93E11) Economic time series analysis (91B84) Economic growth models (91B62)
Related Items
Sharp filters for short sequences ⋮ Modelling phase shifts among stochastic cycles ⋮ The Beveridge-Nelson decomposition in retrospect and prospect ⋮ The stabilizing role of government size ⋮ Measuring business cycles with business-cycle models ⋮ International business cycles, financial markets and household production ⋮ A spectral analysis of the cross-country consumption correlation puzzle ⋮ The spectral analysis of the Hodrick–Prescott filter ⋮ Detrending time-aggregated data ⋮ The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP ⋮ Extracting business cycles with three filters: A comparative study and application in the case of China ⋮ The impact of financial crises on the environment in developing countries ⋮ Cycles, syllogisms and semantics: examining the idea of spurious cycles ⋮ Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification ⋮ What cycles? Data detrending in DSGE models ⋮ Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks ⋮ Trends and cycles in economic time series: a Bayesian approach ⋮ The application of time-delay-dependent \(H_{\infty}\) control in the transmission effect of monetary policy on real estate market ⋮ Seasonality and equilibrium business cycle theories ⋮ The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters ⋮ Structural shocks and the comovements between output and interest rates ⋮ International Business Cycle Asymmetry and Time Irreversible Nonlinearities ⋮ Estimating and testing rational expectations models when the trend specification is uncertain. ⋮ The UK intranational business cycle ⋮ A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation ⋮ Spectral properties and geometric interpretation of R-filters ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ Distortionary effects of the optimal Hodrick--Prescott filter ⋮ On the credit-to-GDP gap and spurious medium-term cycles ⋮ Multivariate detrending under common trend restrictions: implications for business cycle research ⋮ Trend estimation and de-trending via rational square-wave filters ⋮ A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION ⋮ Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson. ⋮ A unified approach for jointly estimating the business and financial cycle, and the role of financial factors ⋮ Models for real estate investment decision-making with hesitant fuzzy information
Cites Work
- Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
- Current developments in time series modelling
- Low frequency filtering and real business cycles
- Technical progress and aggregate fluctuations
- Spurious Periodicity in Inappropriately Detrended Time Series
- Time to Build and Aggregate Fluctuations
