BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER

DOI10.1111/iere.12494zbMath1470.91166OpenAlexW3123828953MaRDI QIDQ4959671

Peter C. B. Phillips, Sainan Jin

Publication date: 17 September 2021

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2423

zbMATH Keywords

smoothingHodrick-Prescott filterintegrated processtrend breakgraduationlimit theorydetrendingWhittaker filter

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Economic growth models (91B62) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

SPECTRAL FINANCIAL ECONOMETRICS ⋮ TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ The spectral analysis of the Hodrick–Prescott filter

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