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

DOI10.1016/J.JEDC.2016.12.004MaRDI QIDQ1655554zbMATHOpenAlexFDO

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

structural breaktrend-cycle decompositionHP filter

Mathematics Subject Classification ID

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

Recommendations

• A small but practically useful modification to the Hodrick-Prescott filtering: a note
• Distortionary effects of the optimal Hodrick--Prescott filter
• Modelled approximations to the ideal filter with application to GDP and its components
• A functional Hodrick-Prescott filter
• Several least-squares problems related to the Hodrick-Prescott filtering
• The spectral analysis of the Hodrick–Prescott filter
• Modeling and estimating correlated growth and business cycles in a multivariate Hodrick-Prescott filter
• Unobserved components and time series econometrics
• Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters
• A property of the Hodrick-Prescott filter and its application

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

(7)

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

This page was built for publication: Reconciling output gaps: unobserved components model and Hodrick-Prescott filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1655554)