Do Mechanical Filters Provide a Good Approximation of Business Cycles?

In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter (BK) recently proposed by Baxter and King (1995) extract bysiness cycle frequencies for the level of macroeconomic time series.

MoreLess

Year of publication:	1996
Authors:	Guay, A ; St-Amant, P
Institutions:	Finance Canada, Government of Canada
Subject:	BUSINESS CYCLES \| STATISTICS

More details

Series:	Working Papers-Department of Finance Canada.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	E32 - Business Fluctuations; Cycles ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005056846