Low frequency filtering and real business cycles
From MaRDI portal
Publication:1195785
DOI10.1016/S0165-1889(06)80010-2zbMath0775.90068OpenAlexW2127612805MaRDI QIDQ1195785
Robert G. King, Sergio T. Rebelo
Publication date: 13 January 1993
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(06)80010-2
Related Items
Effects of the Hodrick-Prescott filter on trend and difference stationary time series, Measuring business cycles with business-cycle models, Smoothing non-stationary time series using the discrete cosine transform, Reconciling output gaps: unobserved components model and Hodrick-Prescott filter, A Review of Some Modern Approaches to the Problem of Trend Extraction, TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS, International business cycles, financial markets and household production, 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, Labor market search, endogenous disasters and the equity premium puzzle, Cycles, syllogisms and semantics: examining the idea of spurious cycles, Selecting the tuning parameter of the \(\ell_1\) trend filter, Effects of filtering data on testing asymmetry in threshold autoregressive models, A new method for specifying the tuning parameter of \(\ell_1\) trend filtering, An explicit formula for the smoother weights of the Hodrick-Prescott filter, Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks, The Hodrick-Prescott filter: a special case of penalized spline smoothing, Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria, Several least-squares problems related to the Hodrick–Prescott filtering, What do interest rates reveal about the functioning of real business cycle models ?, Low frequency filtering and real business cycles, Sources of growth and the spectral properties of the labor market search model, Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market, Solving and estimating linearized DSGE models with VARMA shock processes and filtered data, The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters, Structural shocks and the comovements between output and interest rates, Time series smoothing by penalized least squares, Time series modeling and decomposition, Spectral properties and geometric interpretation of R-filters, Efficient computation for Whittaker-Henderson smoothing, Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter, Distortionary effects of the optimal Hodrick--Prescott filter, Trend estimation of financial time series, Multivariate detrending under common trend restrictions: implications for business cycle research, Trend estimation and de-trending via rational square-wave filters, Low-pass filtered least squares estimators of cointegrating vectors, A frequency selective filter for short-length time series, A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION, A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER, Real business-cycle theory. Wisdom or whimsy?
Cites Work