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Estimation of unobserved expected monthly inflation using Kalman filtering

Burmeister, Edwin - In: Journal of business & economic statistics : JBES ; a … 4 (1986) 2, pp. 147-160

Persistent link: https://www.econbiz.de/10001007907

Autoregressive conditional heteroskedasticity and changes in regime

Hamilton, James D.; Susmel, Raul - 1993

Persistent link: https://www.econbiz.de/10000877974

Specification testing in Markov-switching time-series models

Hamilton, James D. - 1995

Persistent link: https://www.econbiz.de/10000929609

Contrastes de especificación en modelos de series temporales Markov-cambiantes

Hamilton, James D. - In: Información comercial española / Cuadernos económicos (1994), pp. 43-72

Persistent link: https://www.econbiz.de/10001339985

Analysis of time series subject to changes in regime

Hamilton, James D. - In: Journal of econometrics 45 (1990) 1, pp. 39-70

Persistent link: https://www.econbiz.de/10001332080

A new approach to the economic analysis of nonstationary time series and the business cycle

Hamilton, James D. - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 2, pp. 357-384

Persistent link: https://www.econbiz.de/10001064307

Changes in regime and the business cycle

Hamilton, James D. (contributor) - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 3, pp. 267-316

Persistent link: https://www.econbiz.de/10001167099

Time series analysis

Hamilton, James D. - 1994

Persistent link: https://www.econbiz.de/10000346199

Why You Should Never Use the Hodrick-Prescott Filter

Hamilton, James D. - 2017

Here's why. (1) The HP filter produces series with spurious dynamic relations that have no basis in the underlying data-generating process. (2) Filtered values at the end of the sample are very different from those in the middle, and are also characterized by spurious dynamics. (3) A statistical...

Persistent link: https://www.econbiz.de/10012955932

Advances in Markov-switching models : applications in business cycle research and finance ; with 56 tables

Hamilton, James D. (ed.) - 2002

Persistent link: https://www.econbiz.de/10001681636