Reconciling output gaps: unobserved components model and Hodrick-Prescott filter

DOI10.1016/J.JEDC.2016.12.004MaRDI QIDQ1655554zbMATH OpenOpenAlexFDO

Authors Angelia L. Grant, Joshua C. C. Chan

Publication date 9 August 2018

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

Full work available at URL https://doi.org/10.1016/j.jedc.2016.12.004

zbMATH Keywords

HP filterstructural breaktrend-cycle decomposition

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• Kernel density estimation via diffusion
• Low frequency filtering and real business cycles
• Marginal Likelihood Estimation with the Cross-Entropy Method
• Testing for time variation in an unobserved components model for the U.S. economy
• Trends and cycles in economic time series: a Bayesian approach

Cited in

(8)

• The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP
• Modelled approximations to the ideal filter with application to GDP and its components
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• The most appropriate model to estimate Lithuanian business cycle
• Precision-based sampling for state space models that have no measurement error
• Duration structure of unemployment hazards and the trend unemployment rate
• Forecasting emergency department waiting time using a state space representation
• High-dimensional conditionally Gaussian state space models with missing data

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