Effects of the Hodrick-Prescott filter on trend and difference stationary time series

DOI10.1016/0165-1889(93)00781-XzbMATH Open0875.90216OpenAlexW2020979127MaRDI QIDQ1349593FDOQ1349593

Timothy Cogley, James M. Nason

Publication date: 27 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1889(93)00781-x

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zbMATH Keywords

Business fluctuationsModel evaluation and testingTime series models

Mathematics Subject Classification ID

Economic time series analysis (91B84) Filtering in stochastic control theory (93E11) Economic growth models (91B62)

Cites Work

• Current developments in time series modelling
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Low frequency filtering and real business cycles
• Time to Build and Aggregate Fluctuations
• Spurious Periodicity in Inappropriately Detrended Time Series
• Technical progress and aggregate fluctuations

Cited In (40)

• Seasonality and equilibrium business cycle theories
• Estimating and testing rational expectations models when the trend specification is uncertain.
• The UK intranational business cycle
• A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION
• Measuring business cycles in economic time series
• Estimating trends with percentage of smoothness chosen by the user
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
• A unified approach for jointly estimating the business and financial cycle, and the role of financial factors
• Structural shocks and the comovements between output and interest rates
• The stabilizing role of government size
• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
• Distortionary effects of the optimal Hodrick--Prescott filter
• Sharp filters for short sequences
• Models for real estate investment decision-making with hesitant fuzzy information
• The Beveridge-Nelson decomposition in retrospect and prospect
• Trends and cycles in economic time series: a Bayesian approach
• International Business Cycle Asymmetry and Time Irreversible Nonlinearities
• Title not available (Why is that?)
• International business cycles, financial markets and household production
• Spectral properties and geometric interpretation of R-filters
• Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter
• Multivariate detrending under common trend restrictions: implications for business cycle research
• A spectral analysis of the cross-country consumption correlation puzzle
• Detrending time-aggregated data
• Extracting business cycles with three filters: A comparative study and application in the case of China
• The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP
• Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson.
• On the credit-to-GDP gap and spurious medium-term cycles
• Modelling phase shifts among stochastic cycles
• Measuring business cycles with business-cycle models
• Cycles, syllogisms and semantics: examining the idea of spurious cycles
• Economic growth and business cycles: a critical comment on detrending time series
• The impact of financial crises on the environment in developing countries
• Trend estimation and de-trending via rational square-wave filters
• 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
• The application of time-delay-dependent \(H_{\infty}\) control in the transmission effect of monetary policy on real estate market
• The spectral analysis of the Hodrick–Prescott filter

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