The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters

DOI10.1016/S0165-1889(99)00059-7zbMath0983.91046OpenAlexW2031104677WikidataQ101230968 ScholiaQ101230968MaRDI QIDQ5941003

Torben Mark Pedersen

Publication date: 20 August 2001

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00059-7

zbMATH Keywords

business cycle filtersdistortionary effectHodrick-Prescott filter

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (4)

TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ Cycles, syllogisms and semantics: examining the idea of spurious cycles ⋮ Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market ⋮ The endo–exo problem in high frequency financial price fluctuations and rejecting criticality

Uses Software

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Cites Work

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• Low frequency filtering and real business cycles
• Consistent autoregressive spectral estimates
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series

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