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

DOI10.1016/0165-1889(93)00781-XMaRDI QIDQ1349593zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

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

Cited in

(44)

• The spectral analysis of the Hodrick–Prescott filter
• Seasonality and equilibrium business cycle theories
• Estimating and testing rational expectations models when the trend specification is uncertain.
• The UK intranational business cycle
• Measuring business cycles in economic time series
• On fractional filtering versus conventional filtering in economics
• 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
• Estimating trends with percentage of smoothness chosen by the user
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
• 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
• The Beveridge-Nelson decomposition in retrospect and prospect
• Models for real estate investment decision-making with hesitant fuzzy information
• Trends and cycles in economic time series: a Bayesian approach
• Using HP filtered data for econometric analysis: some evidence from Monte Carlo simulations
• International Business Cycle Asymmetry and Time Irreversible Nonlinearities
• A property of the Hodrick-Prescott filter and its application
• scientific article; zbMATH DE number 2222919 (Why is no real title available?)
• International business cycles, financial markets and household production
• Spectral properties and geometric interpretation of R-filters
• Multivariate detrending under common trend restrictions: implications for business cycle research
• Modeling and estimating correlated growth and business cycles in a multivariate Hodrick-Prescott filter
• Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter
• A spectral analysis of the cross-country consumption correlation puzzle
• Detrending time-aggregated data
• 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.
• Extracting business cycles with three filters: A comparative study and application in the case of China
• Business cycles, trend elimination, and the HP filter
• 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

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